In probability theory, Proebsting's paradox is an argument that appears to show that the Kelly criterion can lead to ruin. Although it can be resolved mathematically, it raises some interesting issues about the practical application of Kelly, especially in investing. It was named and first discussed by Edward O. Thorp in 2008.[1] The paradox was named for Todd Proebsting, its creator.
That's good to know. Kelly is good if you know the probabilities AND they don't change.
If you don't know or if they can change, I expect the right approach has to be more complex than the Kelly one.
For instance, casinos have different payout schedules for Blackjack based on minimum bet size and number of decks in the shoe. Payouts for single deck Blackjack are very small in comparison to multi-deck games, as well as requiring larger minimums (and they shuffle the deck after only a few hands).