Maybe it would help if you construct an explicit concrete model? You’re welcome to define what future opportunities will come along after this bet (or even a distribution of possible future opportunities)
Are you claiming that after you build this concrete model—Kelly betting will emerge as the objectively optimal strategy regardless of the agent’s preferences and regardless of whether we add a safety net/income stream into the picture?
Or are you making a softer (seemingly irrelevant) claim about what happens with geometric means/average growth rates when we don’t account for safety nets and income streams?
While the outcomes that drive up the expected dollars are mainly in the regime where your utility is linear in dollars, you should bet crazily; after that point, you should be hedging more; Kelly works (uniquely?) well in the long-run; but in the real world you could know what utility regime you’re in / how long of a run you’re in or something like that.
unknown number of rounds before this bet expires and or other bets come along.
Maybe it would help if you construct an explicit concrete model? You’re welcome to define what future opportunities will come along after this bet (or even a distribution of possible future opportunities)
Are you claiming that after you build this concrete model—Kelly betting will emerge as the objectively optimal strategy regardless of the agent’s preferences and regardless of whether we add a safety net/income stream into the picture?
Or are you making a softer (seemingly irrelevant) claim about what happens with geometric means/average growth rates when we don’t account for safety nets and income streams?
I think there’s a middle ground statement: