Kelly Can't Fail

Interesting side note on Kelly:

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.

https://en.wikipedia.org/wiki/Proebsting%27s_paradox

Quoting the same page: One easy way to dismiss the paradox is to note that Kelly assumes that probabilities do not change.

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.

In particular, then the right approach has to be more risk averse than Kelly would recommend. In reality, most probabilities can only be estimated, while the objective probabilities (e.g. the actual long run success rate) may well be different and lead to ruin. That's also what makes the title "Kelly can't fail" more wrong than right in my opinion.