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Kelly Can't Fail

(win-vector.com)
389 points jmount | 3 comments | | HN request time: 0.417s | source
1. fancy_pantser ◴[] No.42467818[source]
A very similar card game played by deciding when to stop flipping cards from a deck where red is $1 and black is −$1 as described in Timothy Falcon’s quantitative-finance interview book (problem #14). Gwern describes it and also writes code to prove out an optimal stopping strategy: https://gwern.net/problem-14
replies(2): >>42468005 #>>42468277 #
2. jmount ◴[] No.42468005[source]
That is a nice game and writeup.
3. snthpy ◴[] No.42468277[source]
Nice!

Only quibble i have is that black should be +$1 and red -$1 to follow standard finance conventions, i.e. be in the "black" or "red".