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Another comment already posted this misconception. The Kelly criterion assumes only two things: compounding and that the objective is maximised growth. It make
by kqr 5y ago
Another comment already posted this misconception. The Kelly criterion assumes only two things: compounding and that the objective is maximised growth.
It makes no assumptions about utility functions.
There are several good reasons to use fractional Kelly strategies, but shapes of utility functions has nothing to do with it.
- bluecalm 5y agoHow do you define maximized growth and why is it important for anything if utility is not log? Shapes of utility function have everything to do with determining your bet sizes. Can you provide one reason to use Kelly that is not connected to the shape of the utility function? Not to escalate but calling a very well known fact about Kelly a misconception doesn't make for a good start. I mean it's math you can verify or open Wikipedia and read the very first paragraph there.