Very cool to see no variance in the outcome. But that also makes it feel like there should be a strategy with better expected return due to the unique problem structure. Do we know if the Kelly strategy is optimal here?
The book claims it is optimal for a set of strategies they called "sensible." I didn't think the argument flowed as well as the zero variance part of the proof, so I didn't work it in. I think the source also hinted at a game-theory proof as they called the sub-strategies in the portfolio "pure strategies."