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in practice it's extremely difficult to know the distribution of the result you're betting on. This of course depends on your use case. For example, the Kelly
by downandout 8y ago
in practice it's extremely difficult to know the distribution of the result you're betting on.
This of course depends on your use case. For example, the Kelly Criterion is a staple of advantage gambling. For most casino games, probability distribution can be easily calculated with absolute accuracy. I'm sure there are other use cases for it where probability distribution is also fairly stable.
- fjsolwmv 8y agoDoes Kelly work when "ruin" is not such a clear cut permanent barrier? I can be "ruined" today but have more money next payday.
- downandout 8y agoThis would be less a Kelly issue and more an issue of the bankroll variable you're using. Advantage gamblers generally find the concept of "sessions" meaningless - essentially, one's entire gambling career is just one long session. So if for example you have $1K per week of expendable income that you wish to use for the bankroll, and you're willing to risk that amount for a year, then you'd likely want to approach the Kelly calculation with a $52K bankroll. You would have wild swings within that year, and very short sessions when you lost (because you couldn't play again until your next paycheck), but you would still be betting the correct amount for the total risk you're willing to take.