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Not sure I follow. Unless I'm misunderstanding, wouldn't Kelly apply especially for your case? As in, Kelly is concerned with avoiding absorbing barriers and in
by whitepoplar 8y ago
Not sure I follow. Unless I'm misunderstanding, wouldn't Kelly apply especially for your case? As in, Kelly is concerned with avoiding absorbing barriers and increasing bets when they're on "house money" (given a known edge, of course).
- OscarCunningham 8y agoKelly isn't about either of those things. It's a consequence of Kelly that it never hits the absorbing barrier, but lots of other strategies also have that property. What I'm saying is that among all of those strategies, Kelly isn't optimal.
- whitepoplar 8y agoI misunderstood then, gotcha.