The Kelly criterion was recently discussed on LW here.
As I start reading this post, I find myself curious how you see the goal of this post in relation to that one—is it an alternate introduction? does it cover different ground? is there anything you disagree with in that other post (and its follow-up, The Art of the Overbet)?
I actually wrote this post almost exactly two years ago, and have no idea why it just got cross-posted to LessWrong. I mainly like my post because it covers how the Kelly criterion sort-of applies to markets where you have to predict a bunch of things but don’t know what you’re actually going to learn. It’s also a more theoretical take on the subject. [EDIT: oh, also it goes through the proof of equivalence between a market of Kelly bettors and Bayesian updating, which is kind of nice and an interesting parallel to logical induction]
The Kelly criterion was recently discussed on LW here.
As I start reading this post, I find myself curious how you see the goal of this post in relation to that one—is it an alternate introduction? does it cover different ground? is there anything you disagree with in that other post (and its follow-up, The Art of the Overbet)?
I actually wrote this post almost exactly two years ago, and have no idea why it just got cross-posted to LessWrong. I mainly like my post because it covers how the Kelly criterion sort-of applies to markets where you have to predict a bunch of things but don’t know what you’re actually going to learn. It’s also a more theoretical take on the subject. [EDIT: oh, also it goes through the proof of equivalence between a market of Kelly bettors and Bayesian updating, which is kind of nice and an interesting parallel to logical induction]