Comment by sigstoat
4 years ago
in the U(-1.0, 1.1) case you mentioned, kelly says not to bet.
optimize the value of the bet size over the expected value of the log of bankroll + betsize*outcome. you can do that for any probability distribution of outcomes.
if you can't write that in 5 minutes, then i already did half your homework for you.
> each bet has a roughly normal distribution outcome
hahaha.
Right so just do a simulation, no closed form solution.
that's not simulation.
for that trivial case, there's going to be a closed form solution. your nearest copy of mathematica can derive it for you.
not that having a closed form solution is relevant to anything. the answer is still the answer.