4 ms·

I am not math enough to begin to understand this paper but nonetheless I was instantly reminded of the Kelly criterion, which is super nifty: https://en.wikiped

• hansvm 4y ago
  The main difference is that Kelly has a multiplicative assumption and the paper has an additive assumption. The Kelly criterion is often computed as a proportion of the initial bankroll, whereas this paper handles non-zero chances of losing a _fixed_, positive amount of money (i.e., a varying proportion of your bankroll, and that proportion increases precisely when you would least want it to -- when you're doing poorly).