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Kelly Can't Fail

(win-vector.com)
389 points jmount | 1 comments | 19 Dec 24 23:07 UTC | HN request time: 0.203s | source
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pcthrowaway ◴[20 Dec 24 02:34 UTC] No.42467756[source]▶
Note that you need to be able to infinitely divide your stake for this to work out for you all the time.

For example, if the deck has 26 red cards on top, you'd end up dwindling your initial $1.00 stake to 0.000000134 before riding it back up to 9.08

replies(7): >>42467772 #>>42467915 #>>42468365 #>>42468411 #>>42470747 #>>42471103 #>>42480391 #
1. jmount ◴[21 Dec 24 16:01 UTC] No.42480391[source]▶
I've added a follow-up note on the case of discrete stakes here: https://win-vector.com/2024/12/21/kelly-betting-with-discret... . It is known there is a dynamic programming strategy that guarantees a return of $8.08 on a $1 bet. Simple rounding of the Kelly strategy does not achieve this.