11) Kelly suggests you only bet $10k: you’ll almost certainly lose. And if you kept doing this much more than $10k at a time, you’d probably blow out.
That this bet is great expected value; you win 1,000x your bet size, way better than the first one! It’s just very risky.
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Are you saying you would bet more if you only ha $100,000? or you would bet more because you do have more than $100,000 to start?
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You do realize the reason you shouldn't bet more than $10,000 is the same reason you gave for not betting it all in #22? You need funding to provide value with future opportunities.
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eh they're to different degrees; losing 10% of your wealth is a lot less likely to cripple your opportunity to do future things than losing > 50%.
life isn't exactly a game of iterated "exactly the same bet".
And in practice it matters a lot roughly how much $ you'll need!
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The Kelly criteria isn't about iterating the exact same bet either. It's about maximizing your long term growth rate in games of random chance.
The bet can change each time and you still shouldn't bet above the Kelly value.
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long term *geometric* growth rate, not long term growth rate
all-in maximizes long term growth rate
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Absolutely not. All long term growth rates are geometric. There is no other kind.
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uhhhh how are you defining growth rate?
"Growth rates refer to the percentage change of a specific variable within a specific time period"
from the first link: investopedia.com/terms/g/growth
I'd interpret that as lim t --> inf EV[ W_{t+1}/W_t ]
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or, really, lim t --> inf [EV W_{t+1}]/EV[W_t] if you don't want to worry about div0