←back to thread

Kelly Can't Fail

(win-vector.com)
389 points jmount | 1 comments | 19 Dec 24 23:07 UTC | HN request time: 0s | source
Show context
fancy_pantser ◴[20 Dec 24 02:47 UTC] 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 #
1. snthpy ◴[20 Dec 24 04:27 UTC] 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".