I think you're being a bit glib with the second half there? Like I could equally say "maximize linear EV assumes you'd prefer having more wealth than less wealth, and it guides you to the strategy where you are able to get the largest possible wealth by a factor of 999999999..."
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Hmm I don’t think EV(wealth) maximization actually maximizes wealth in the best possible world, right? It doesn’t reach the highest peak
What EV(wealth) maximizes is sum of wealth across all possible worlds
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Peak-maximization would mean buying lottery tickets and such even at negative EV
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so in every example we've been talking about they *are* the same.
they don't have to be but they usually are.
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agreed that negative lottery tickets are different here but every approach gets that one right!
but in e.g. st petersberg, hold USDC vs hold ERC20 token vs LP, classic Kelly question, etc., the max EV = max upside strategy = bet it all every time on the max EV option
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But more generally my point is that "maximize odds of winning" is not what really matters, and neither is "maximize the max upside"; both are "good" things to have but neither are perfect, and really this is just an argument between max(EV) and max(EV(log))
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No! I am not trying to maximize EV of anything!
I want to pick the strategy that beats yours 99.99% of the time. That’s my terminal goal
Kelly takes that input and spits out that I should maximize EV(log(wealth)), but that preference is the consequence, not the cause
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Understood -- I think it's a crazy goal that's not going to hold water if you really dig into it but acknowledged that's what you want to do!
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Earnestly, if you dm me your address before the pod I will ship you a copy of Fortune’s Formula as well as annotated research notes and arXiv keywords.
The general optimality of the Kelly criterion (beyond the narrow context in which it’s usually explained) is a deep topic.
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Some day we'll have deeper in-person conversations and learn more about each other.
I guess for now my only response is that I think you are massively underestimating me in this context.
I understand you disagree with that though!
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(I found your post incredibly condescending and ignorant and presumptuous and off-base and embarrassing but honestly mine probably came across that way too :) )
I disagree, but I’m sorry you took it that way - hopefully we can resolve this in a better forum for debate 🙂
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agreed!
and FWIW I understand it wasn't meant that way.
(the missing piece here is that I consider myself to be an expert on this particular topic, which obviously isn't what everyone thinks!)
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