The Kelly criterion is intended to maximize log wealth. Do you think that’s a good goal to optimize? How would your betting strategy be different if your utility function were closer to linear in wealth (e.g. if you planned to donate most of it above some threshold)?
This isn’t quite the right way to think about Kelly betting. Kelly maximises log-wealth after one bet. This isn’t quite the same as maximising long-run log-wealth after a series of such bets. In fact, Kelly betting is the optimal betting strategy in some sense (leading to higher wealth than any other strategy).
The Kelly criterion is intended to maximize log wealth. Do you think that’s a good goal to optimize? How would your betting strategy be different if your utility function were closer to linear in wealth (e.g. if you planned to donate most of it above some threshold)?
This isn’t quite the right way to think about Kelly betting. Kelly maximises log-wealth after one bet. This isn’t quite the same as maximising long-run log-wealth after a series of such bets. In fact, Kelly betting is the optimal betting strategy in some sense (leading to higher wealth than any other strategy).