Yeah I had a convo about Kelly a few years ago where (I may be misremembering who said what) I was like “But my utility is basically linear in money, or in some sense it’s even significantly superlinear (because it would be easier to get a bunch of information and connections and good investments in a snowbally way), so I obviously should just bet as much as I can if I really think I have an edge.”. I think this is basically right, but not that relevant in practice just because there aren’t really opportunities like that unless you really go looking for them, and it’s much better to have some money even if you do have a safety net.
Yeah, the thing to remember with super-kelly strategies is that you are concentrating your expected utility into very improbable worlds where you are extremely wealthy. Which means you need to check that your total wealth in such a world is still significantly less than the total amount of money that exists. It’s no fun to go broke in all but of worlds to give yourself dollars in those worlds, only for that copy of you to find out that is not an amount of dollars that a person can actually reasonably have.
Yeah I had a convo about Kelly a few years ago where (I may be misremembering who said what) I was like “But my utility is basically linear in money, or in some sense it’s even significantly superlinear (because it would be easier to get a bunch of information and connections and good investments in a snowbally way), so I obviously should just bet as much as I can if I really think I have an edge.”. I think this is basically right, but not that relevant in practice just because there aren’t really opportunities like that unless you really go looking for them, and it’s much better to have some money even if you do have a safety net.
Yeah, the thing to remember with super-kelly strategies is that you are concentrating your expected utility into very improbable worlds where you are extremely wealthy. Which means you need to check that your total wealth in such a world is still significantly less than the total amount of money that exists. It’s no fun to go broke in all but