  We investigate the most popular approaches to the problem of sports betting
investment based on modern portfolio theory and the Kelly criterion. We define
the problem setting, the formal investment strategies, and review their common
modifications used in practice. The underlying purpose of the reviewed
modifications is to mitigate the additional risk stemming from the unrealistic
mathematical assumptions of the formal strategies. We test the resulting
methods using a unified evaluation protocol for three sports: horse racing,
basketball and soccer. The results show the practical necessity of the
additional risk-control methods and demonstrate their individual benefits.
Particularly, we show that an adaptive variant of the popular ``fractional
Kelly'' method is a very suitable choice across a wide range of settings.
