This is making the assumption that the pots do not have access to the same coins, right? Why would there be an investment opportunity available to one pot that isn't available to the others? That's an extra assumption (and a fairly arbitrary one).
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I think it's a natural assumption!
you have impact on coins. You can't go arbitrarily big.
At some point you have to split off some of your capital.
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Having impact on coins has nothing to do with the pots having heterogenous investment opportunities, right?
You could still have each subpot just make the exact same bets the macro portfolio would make, but scaled down.
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If bets have an effect on the market, then sure, the subportfolio manager would find it useful to know how large the total portfolio is (to know how much capital is following the same strategy).
But it will still be maximizing its own log wealth IN THAT CONTEXT.
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ok fine how about your future earning potential?
that's not something you can turn into ETH easily but it is something which should be inside the log
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or locked coins you have, or your house, or any number of other things that aren't ETH
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Uh sure but have we resolved the math thing? Was I right about the math?
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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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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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*interested in hearing more about the last sentence 👀
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Heh
This is a classic trap for people who know a decent amount of math, get swayed by a sexy-sounding sentence, and fail to go back and critical examine it.
I think it was maybe the most accurate predictor of whether someone at Jane Street was/would become a good trader.
Like the best trader is someone who gets everything right.
A pretty good trader is someone who gets half of things right and changes their mind a lot.
A bad trader is one who knows nothing.
But none of those are the worst trader.
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The worst trader is the one that is really smart, cares a lot, and knows a lot about the subject at hand, but can't find the possibility of the weak points or uncertainties in their own models even when pointed out, or especially when there's decent Bayesian evidence of issues.
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Regardless of whether Kelly is ultimately good or bad, which of us do you think has misunderstood Kelly more in this discussion?
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oh boy what do you think I'm going to say here? :P
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