Comment by glacials
4 years ago
Can you explain why the Kelly criterion wouldn't have you bet 0 every time? The chance of winning a round of rock-paper-scissors when throwing a random symbol seems to be 50% (if ties cause re-dos), so wouldn't that work out to 50 * 2 - 100 = 0?
It’s a good question. You’re right, if I followed it strictly it wouldn’t work. I suppose I rationalized offsetting it because I couldn’t actually go bankrupt. If I was better at math there’s probably some other criterion that takes into account how hard it would be to get back to where you are, given that you couldn’t go below 1.