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Kelly Can't Fail

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389 points jmount | 1 comments | | HN request time: 0.198s | source
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barbegal ◴[] No.42467272[source]
It would have been a better demo if reduced to more manageable numbers e.g. a deck of 2 black and 2 red cards.

Turn 1 r = b so no bet

Turn 2 bet 1/3 on whichever card wasn't revealed in turn 1.

Turn 3 either you were wrong on turn 2 and you now have 2/3 of your stake but you know the colour of the next two cards so you can double your stake each time to end up with 4/3 after turn 3 or you were right and you have 4/3 of your stake but have one of each red or black left so you don't bet this turn.

Turn 4 you know the colour of the final card so you double your money to 8/3 of your original stake.

And then the exercise to the reader is to prove optimality (which is fairly straightforward but I don't believe there is a short proof)

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1. ◴[] No.42467997[source]