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I think that thread is being widely misinterpreted. Kelly betting applies to repeated bets. At the start of the thread he makes it clear he's talking about a on

by twic 4y ago

I think that thread is being widely misinterpreted. Kelly betting applies to repeated bets. At the start of the thread he makes it clear he's talking about a one-off. In that situation, EV really does scale linearly with bet size, so if you have any edge you should just go big. You can argue that there is no such thing as a one-off bet, because there will always be more bets on other things for someone who isn't ruined, but that's the explicit assumption for that thread.

shapefrog 4y ago
It is a classic example of everyone being wrong, everyone wants to feel superior a see a particular thing with that exchange, and thus take away that which makes them feel smart. Anyway - anyone who has ever run any money knows you use a fraction of kelly, which if you have a brain makes you wonder why it is optimal to use a fraction of the optimal amount - which should make you realise that kelly is loaded with stupid assumptions and is basically useless beyond a philosophical construct.
sigstoat 4y ago
> that's the explicit assumption for that thread. and i'm fine with that. i don't believe it exists, especially for a business/fund like his, where even making that claim is its own sort of hilarity, but i'm fine with that for the purposes of the thread and this response: > Kelly betting applies to repeated bets. ... In that situation, EV really does scale linearly with bet size, so if you have any edge you should just go big. in which case you don't spend any time talking about how you're going to bet "X times kelly". you don't deny that kelly applies, and then compute some >1 multiple of kelly and defend that number by saying kelly doesn't apply. there's no fixed multiple of what you get out of the gambler's formulation that makes any kind of sense if you've abandoned the initial premise. i suspect the only good, coherent defense of what he was saying on twitter is something like "he had articulate arguments but didn't present them because of twitter limitations"

by twic 4y ago

shapefrog 4y ago

It is a classic example of everyone being wrong, everyone wants to feel superior a see a particular thing with that exchange, and thus take away that which makes them feel smart. Anyway - anyone who has ever run any money knows you use a fraction of kelly, which if you have a brain makes you wonder why it is optimal to use a fraction of the optimal amount - which should make you realise that kelly is loaded with stupid assumptions and is basically useless beyond a philosophical construct.

sigstoat 4y ago

> that's the explicit assumption for that thread. and i'm fine with that. i don't believe it exists, especially for a business/fund like his, where even making that claim is its own sort of hilarity, but i'm fine with that for the purposes of the thread and this response: > Kelly betting applies to repeated bets. ... In that situation, EV really does scale linearly with bet size, so if you have any edge you should just go big. in which case you don't spend any time talking about how you're going to bet "X times kelly". you don't deny that kelly applies, and then compute some >1 multiple of kelly and defend that number by saying kelly doesn't apply. there's no fixed multiple of what you get out of the gambler's formulation that makes any kind of sense if you've abandoned the initial premise. i suspect the only good, coherent defense of what he was saying on twitter is something like "he had articulate arguments but didn't present them because of twitter limitations"