News for hackers. Stuff that matters.

A comment on Kelly Criterion – how to calculate optimal bet sizes. Parent comment

Re:Kelly Criterion – how to calculate optimal bet sizes by kqr on Thursday June 10, 2021 @01:37AM (#27457105)
Technically the Kelly criterion suggests you should take this bet if your wealth is greater than $1.23, so it does depend on your current wealth.

However, this might still look dumb, and it's because my calculation assumes you could pick a smaller stake for the same bet, which isn't necessarily the case. If you can't, the calculation gets a little bit more complicated, but sure, the Kelly criterion can deal with that too.

[ Parent | on HN ]
Re:Kelly Criterion – how to calculate optimal bet sizes by LudwigNagasena on Thursday June 10, 2021 @01:53AM (#27457222)
According to the assumptions behind the Kelly criterion (maximizing long-term growth rate) you should always take the bet. Kelly criterion can’t be applied here because we have a different setup (you can’t choose your bet size), that’s my entire point!
[ Parent | on HN ]