4 ms·
The Kelly Criterion, in this case, suggests that the optimum bet size is ~25% of your wealth. Making 4 separate bets in each round with 25% of your wealth prod
by rerdavies 3y ago
The Kelly Criterion, in this case, suggests that the optimum bet size is ~25% of your wealth.
Making 4 separate bets in each round with 25% of your wealth produces the following results:
Investors: 100,000 Iterations: 100 Portfolio size: 4
Avg wealth: $130.041 Median wealth: $11.6259
Winners: 85,902 Investestors worth < $0.01: 119
Max wealth: $86,177.5 heads: 241 tails: 159