Re:The most expensive number in engineering
by chrisgp on Monday May 31, 2021 @03:00PM
(#27347132)
In finance and gambling, the kelly criterion is used to evaluate maximum bet sizing while keeping risk-of-ruin near 0. Using it correctly requires understanding your own expectation and variance to a high degree of confidence. Everyone in these industries uses kelly to figure out the maximum size they can bet based on these careful expectation and variance calculations, then just divides by 2.
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