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Do we know if the Kelly strategy is optimal here? What do you mean by optimal? Do you mean you're willing to risk going bankrupt, if it means a higher expected
by rahimnathwani 2y ago
Do we know if the Kelly strategy is optimal here?
What do you mean by optimal? Do you mean you're willing to risk going bankrupt, if it means a higher expected value?
- scotty79 2y agoSurely there's some space between risking to go bankrupt and risking of getting less than 9.08 return guaranteed by Kelly strategy. If you are willing to take some risk in exchange for possibility of higher payout just bet a bit more then Kelly recommends. That's your "optimal" strategy for the amount of risk you are willing to take. I imagine it's expected return is the same as Kelly and calculating it's variance is left as the exercise for the reader.
- rahimnathwani 2y agoI imagine it's expected return is the same as Kelly Given two options with the same expected return, most people would prefer the lower variance. Accepting higher variance with no increase in expected return has a name: gambling.