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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: 0.21s | source
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pcthrowaway ◴[20 Dec 24 02:34 UTC] No.42467756[source]▶
Note that you need to be able to infinitely divide your stake for this to work out for you all the time.

For example, if the deck has 26 red cards on top, you'd end up dwindling your initial $1.00 stake to 0.000000134 before riding it back up to 9.08

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1. jmount ◴[20 Dec 24 02:38 UTC] No.42467772[source]▶
Very good point. I did some experiments and the system is very sensitive to any sort of quantization or rounding of bets. You get the expected value about the right place, but the variance goes up quickly. So in addition to your important case, things are a bit dicey in general.