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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?

SBF

@SBF_FTX

Dec 14, 2020

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@ysoh

and

@tbr90

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?

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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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and

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

9:04 AM · Dec 14, 2020Twitter Web App

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and

Kelly maximizes a *very specific thing*! Unless you care about exactly that very specific thing, Kelly might or might not be right for you.

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and

E.g. $1k bankroll, 1:1 payout, 60% of winning each one. Kelly says bet 20%. But if you bet 20.5%, you'll: a) have higher EV b) almost certainly not end in ruin

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and

I hope to read about SBF Criterion one day!