@gojomo paper is painfully wrong, Kelly is not optimal for this game. You can get the optimal solution by dynamic programming.
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V(w,b)=max([0.6*V(min(w+x,250),b-1)+0.4*V(w-x,b-1) for x in 0..w]) for the value of having wealth w and b bets left.
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Have to rule this out first: http://unenumerated.blogspot.com/2015/05/small-game-fallacies.html …
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this one is numerically stable. See http://www.r-fiddle.org/#/fiddle?id=WLr9n5Qh …
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