Re:Kelly Criterion – how to calculate optimal bet sizes
by wizzwizz4 on Wednesday June 09, 2021 @04:26PM
(#27452743)
> For the Kelly Criterion it is to maximize the logarithm of the weighted sum of the expected value across all outcomes.
It's actually to maximise the expected logarithm of the monetary amount, and it's a pretty good heuristic (in most circumstances) given that most opportunities are exponential. (It usually takes a given amount of effort to double your money.)
It's actually to maximise the expected logarithm of the monetary amount, and it's a pretty good heuristic (in most circumstances) given that most opportunities are exponential. (It usually takes a given amount of effort to double your money.)