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Bcdrdi
@Bcdrdi
And here comes Sam. He's willing to dispute a time-tested and well respected probability theory formula in order to make a point that what? Uniswap sucks and Serum is our savior? Puhleeze Sam.
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SBF
@SBF_FTX
Replying to @_charlienoyes and @danrobinson
It's trying to maximize EV[log(wealth)] instead of EV[wealth]. This is probably wrong in and of itself as an assumption to make. But if you *do* want to make that assumption, then e.g. you have to consider all of your assets that don't have anything to do with the pool.
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SBF
@SBF_FTX
Replying to
@Bcdrdi
I'm so confused! what "probability theory" am I disputing? The part of Kelly I'm disputing is not the math part, it's the question of what utility function you decide to maximize in the first place.
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SBF
@SBF_FTX
Replying to
@Bcdrdi
it comes with a proof that, given a very specific set of assumptions (that you must always use the same strategy and not adapt, that the process is repeated *literally infinitely*, etc.), as time goes on, the odds kelly wins go up and the amount it is losing by in EV go up too.
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Bcdrdi
@Bcdrdi
Replying to
@SBF_FTX
and
@SBF_Alameda
Using the same strategy and not adapting is not a problem whatsoever if that strategy gives you the most money in the long run. The infinite repetition is not a requirement, it's just that the longer you keep betting the less the influence of randomness on your wealth.
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