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Only if that other strategy is also betting a constant fraction of its wealth each turn. There are other strategies that will beat Kelly most of the time. For e
by OscarCunningham 5y ago
Only if that other strategy is also betting a constant fraction of its wealth each turn. There are other strategies that will beat Kelly most of the time. For example, follow a slightly riskier strategy than Kelly until you are either bankrupt or ahead of Kelly, then follow Kelly. More than 50% of the time you will get ahead of Kelly and then stay ahead.
- rssoconnor 5y agoInteresting. I think whether you follow a riskier strategy or not depends on the shape of the bets you are making. If you are picking up pennies in front of a steamroller (high probability of low payout and low probability of losses), then what you say seems to make sense. If you are playing lottery tickets (low probability of high payout and high probability of losses) then I guess you want to bet conservatively until the Kelly strategy falls below you and then you switch to the Kelly strategy.