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Kelly Can't Fail

(win-vector.com)
389 points jmount | 1 comments | | HN request time: 0.203s | source
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pcthrowaway ◴[] 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

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boothby ◴[] No.42467915[source]
If you start out with a $1e12 stake, you're able to avoid catastrophic rounding errors even in the worst case. There's probably a life lesson here.
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1. TeMPOraL ◴[] No.42481435[source]
When Poland first introduced the capital gains tax in 2002, banks were quick to notice the tax law still generally required tax amounts to be rounded to nearest full złoty when accrued, so they started offering financial products with daily capitalization, which were effectively exempt from the new capital gains tax, as for most customers, the daily gain would be low enough that the tax on it always rounded down to zero. This only got corrected 10 years later.

I find it fascinating that we could have a whole class of financial products hinging on something seemingly so trivial as a rounding strategy.