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Kelly Can't Fail

(win-vector.com)
389 points jmount | 1 comments | 19 Dec 24 23:07 UTC | HN request time: 0.2s | source
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hawkjo ◴[20 Dec 24 00:12 UTC] No.42467116[source]▶
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?
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1. barbegal ◴[20 Dec 24 00:54 UTC] No.42467299[source]▶
It is optimal for expected returns yes.