I was confused about the relationship between Kelly betting, wealth maximising and having linear utility in money. In particular, I couldn’t quite work out what was supposed to change in finding the extremal point if you have linear utility.
I now realise you are supposed to take the expectation over K of your wealth, and presumably (though I didn’t fancy the algebra) this suggests betting all your money
I was confused about the relationship between Kelly betting, wealth maximising and having linear utility in money. In particular, I couldn’t quite work out what was supposed to change in finding the extremal point if you have linear utility.
I now realise you are supposed to take the expectation over K of your wealth, and presumably (though I didn’t fancy the algebra) this suggests betting all your money