Re:Kelly Criterion – how to calculate optimal bet sizes
by murbard2 on Wednesday June 09, 2021 @07:15PM
(#27454607)
If it's a mistake, it's a charitable one. Picking log utility is at least somewhat principled, trying to lead almost surely to higher wealth is way more arbitrary.
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Re:Kelly Criterion – how to calculate optimal bet sizes
by concreteblock on Wednesday June 09, 2021 @07:33PM
(#27454799)
What exactly do you find arbitrary about this? When gambling or investing, more wealth is better than less wealth.
'Almost surely' is a technical term which means 'with probability 1'.
Re:Kelly Criterion – how to calculate optimal bet sizes
by murbard2 on Thursday June 10, 2021 @06:10AM
(#27458963)
At no point in time does Kelly give you more wealth with probability 1, and there is no reason to care about "more wealth with high probability", that's not even a transitive comparison function.
Re:Kelly Criterion – how to calculate optimal bet sizes
by concreteblock on Friday June 18, 2021 @09:24PM
(#27556913)
> At no point in time does Kelly give you more wealth with probability 1,
Either you're claiming that the theorem I attempted to describe is false, or you're misunderstanding the theorem I am trying to describe.
I never wrote anything about 'high probability' either so I don't know why you introduced that notion.