Comment by kqr
4 years ago
I would be surprised and perhaps a little disappointed if any professional investors think of E log X optimisation as the latter.
4 years ago
I would be surprised and perhaps a little disappointed if any professional investors think of E log X optimisation as the latter.
I think it’s more a difference in what people think the term “Kelly criterion” means, which is somewhat fair. The concept of optimizing for geometric mean came before Kelly, as well as the math showing that optimizing for log utility is a way to do that.