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please define "Kelly optimizes for total wealth" I disagree for many reasonable definitions of it. For some it's true!

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wait if it's not an iterated bet? what if it's just a single bet?

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All bets made in one's life is a series of iterations regardless of the events, are they not?

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sure but they're not all the same bet, and you can get different answers in that case

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Right. So each bet can be maximized using Kelly and betting higher than this value leads risk of ruin to converge to 1 in an infinite series of bets. Is this a false statement?

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1) I don't care about an infinite series of bets, we only have finite series of bets 2) do you not care that upside and expected wealth converge to infinity quickly in those cases? Are you approximating X*Y where x --> inf and y --> 0 as 0?

8:35 AM · Dec 14, 2020Twitter Web App

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and

Hm, yes, I don't care if my expected wealth converges to infinity in those cases, I'm only interested in finding appropriate bet sizes to maximize my EV per event while avoiding ruin. If you tell me there's a better equation for that than Kelly, I'm all ears.

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er yeah there totally is being a bit more aggressive (but not *too much more*) will have higher EV per event, and will avoid ruin

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