Re:Gambler’s Ruin Problem [pdf]
by exolymph on Saturday October 01, 2022 @07:21PM
(#33051110)
I am not math enough to begin to understand this paper but nonetheless I was instantly reminded of the Kelly criterion, which is super nifty: https://en.wikipedia.org/wiki/Kelly_criterion
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The main difference is that Kelly has a multiplicative assumption and the paper has an additive assumption. The Kelly criterion is often computed as a proportion of the initial bankroll, whereas this paper handles non-zero chances of losing a _fixed_, positive amount of money (i.e., a varying proportion of your bankroll, and that proportion increases precisely when you would least want it to -- when you're doing poorly).