This is relevant for a debate I'm having: Does the Kelly Criterion assume the investor's utility function is log(wealth)?
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Kelly maximizes the expected value of the logarithm of wealth
If you define utility as 'the thing you are trying to maximize the expected value of'
Then following the Kelly Criterion is equivalent to having log(wealth) utility.
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It's also equivalent to other things, for example maybe you are like and want something like 'almost surely higher wealth than any other strategy in the long run'
So I think 'assume' is loaded
But they are equivalent
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(you need to throw in a few more assumptions as well to get there, but otherwise agree)
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