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That's strange, given that the Kelly criterion maximizes the expectation of the log of wealth--that is, it's maximizing over multiplicative percent gains in a s
by dplavery92 5y ago
That's strange, given that the Kelly criterion maximizes the expectation of the log of wealth--that is, it's maximizing over multiplicative percent gains in a scenario where you can go bankrupt.
- minitoar 5y agoI don’t get why it’s strange? What I learned from that competition was that bid sizing was way more important than the symbol selection strategy. Trying to beat the other students at iocaine powder wasn’t really a winning proposition.