Kelly Can't Fail

Kelly criterion is one of my favorite game theory concepts that is used heavily in bankroll management of professional gamblers, particularly poker players. It is a good way to help someone understand how you can manage your finances and stakes in a way that allows you to climb steadily forward without risking too much or any ruin, but is frequently misapplied in that space. The problem is kelly deals with binary results, and often situations in which this is applied where the results are not binary (a criteria for applying this) you can see skewed results that look almost right but not quite so, depending on how you view the math

> particularly poker players

The Kelly criterion seems excellent for many forms of gambling, but poker seems like it could be an exception: in poker, you’re playing against other players, so the utility of a given distribution of chips seems like it ought to be more complicated than just the number of chips you have.

(I’m not a poker player.)