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).
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).