3 ms·
Looking at the wikipedia derivation of the Kelly criterion, taking the logarithm of the expected rate of return E[r] = (1 + fb)^p (1 - fa)^(1-p) is just to make
by saeranv 4y ago
Looking at the wikipedia derivation of the Kelly criterion, taking the logarithm of the expected rate of return E[r] = (1 + fb)^p (1 - fa)^(1-p) is just to make finding the derivative easier (because logs are monotonic). Nothing else.