← Back to context

Comment by kqr

4 years ago

For anyone interested in practising your Kelly estimation, I made a game inspired by Bernoulli's original paper on the subject for a lunch and learn at my job: https://static.loop54.com/ship-investor.html

There's also a sequel for the case of continuous outcomes: https://static.loop54.com/ship-investor-2.html

Before my parental leave is over, I hope to make two more sequels, one with futures and one with options. Maybe also a fixed-income version, but I'd have to learn more about that myself first.

4 comments

kqr

Reply
dshacker  4 years ago

Hey, this is really cool! What's the optimal strategy? Would love to learn more

  • tome  4 years ago

    I found good success with going for the smallest investment in Bering and the second smallest investment in the other two straits.

    The optimal strategy would be to estimate which investment maximises your log returns :) but I don't have time for that.

dorgo  4 years ago

Edit: First investment always fails. The next 5 always succeed. Predetermined randomness?

  • kqr  4 years ago

    Not intentional, but I expect there to be some bugs -- didn't want to spend too much time on it.