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Kelly criterion was originally invented by Daniel Bernoulli (using logarithmic utility) as a resolution to the St. Petersburg Paradox, IIRC: https://en.wikiped
by sn41 4y ago
Kelly criterion was originally invented by Daniel Bernoulli (using logarithmic utility) as a resolution to the St. Petersburg Paradox, IIRC:
https://en.wikipedia.org/wiki/St._Petersburg_paradox https://en.wikipedia.org/wiki/St._Petersburg_paradox
- kqr 4y agoNot specifically a solution to the St. Petersburg Paradox because, well, it's not a solution to the most general formulation of it (and Bernoulli admits as much in his paper, IIRC). At least the way I read Bernoulli's paper, it was more of a general musing on how to reduce risk and make insurance decisions.