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uh you were right that it depends on the assumptions you make, sorry about that! in order for your actualy claim to be right you need to make batshit crazy assumptions

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SBF

@SBF_FTX

Dec 3, 2020

Replying to @danrobinson @elliot_olds and 2 others

er ok sorry about that! you might be right. I think the assumptions necessary for yours to hold are: 1) no xfers 2) can't see how the other is doing 3) goes on literally infinitely 4) assets grow unboundedly upwards in the median case

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er sorry about this, that was way too mean there was no reason for me to phrase it that way (I get kind of triggered by people misunderstanding Kelly)

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Appreciate it. I probably shouldn't have said blown the fuck out yesterday (I was worried it wouldn't be provocative enough. Lol) But in retrospect, I wasn't misunderstanding Kelly here, right? Kelly applies equally if you divide a portfolio into pots.

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yup agreed :)

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(if the pots are/can be all identical)

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I’m not gonna lie it’s a technicality but I’ll take it

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One other point: any of my subportfolios that are not log-wealth-optimized will not have any impact on my asymptotic wealth growth rate at all. So if there's some portion of it that I'm able to log-wealth optimize, that's the only part of my portfolio that matters.

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(This point, unlike the other one, leans on the infinite-time-horizon assumption)

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It relies on a number of things, and e.g. means that any not-infinitely-repeatable process is irrelevant (which is one reason I think the backdrop scenario kelly is usually presented in is not a helpful one to try to think about)