3 ms·
Did you use the Kelly Criterion or did you do something else?
by alasdair_ 13y ago
Did you use the Kelly Criterion or did you do something else?
- dangoldin 13y agoI used something else - don't want to give too much away but the general idea is to try it on a smaller problem (4 flips, $5, etc) and seeing if any patterns develop.
- sbi 13y agoThe Kelly criterion doesn't quite apply in this problem, since you are asked to optimize a more conservative strategy, namely to guarantee (with high probability) a certain amount of winnings rather than maximize log(winnings). In fact the Kelly value for f (in the problem's notation) is 0.25.