3 ms·
"The original meaning is that a gambler who raises his bet to a fixed fraction of bankroll when he wins, but does not reduce it when he loses, will eventually g
by theoracle101 11y ago
"The original meaning is that a gambler who raises his bet to a fixed fraction of bankroll when he wins, but does not reduce it when he loses, will eventually go broke, even if he has a positive expected value on each bet."
When you're selling deep out of the money puts you can't just assume there will be a buyer to satisfy the fractional betting condition mentioned by the author in the (theoretically correct) kelly principle.
- amouat 11y agoWho said anything about raising bets?
- theoracle101 11y agoThe optimal betting strategy would be to "invest" a fractional percentage of your bankroll. See the kelly criterion from above. Not doing so is suboptimal
- amouat 11y agoSure. But you said "This is not true at all and a common fallacy". In fact, it is quite possible to reliably win when the odds offered are better than the actual odds. I guess we're just talking over each other - you made an assumption that I don't believe was clear from the context.