“the utility-maximizing strategy is 100% all-in bets”
Not quite. It’s going all-in when the expected value is greater than one, and not betting anything when it’s less. If you have a 51% chance doubling your money, go all in. If you have a 49% chance, don’t bet anything. In fact, bet negative if that’s allowed.
“the utility-maximizing strategy is 100% all-in bets”
Not quite. It’s going all-in when the expected value is greater than one, and not betting anything when it’s less. If you have a 51% chance doubling your money, go all in. If you have a 49% chance, don’t bet anything. In fact, bet negative if that’s allowed.
Right, and Kelly allocation is 0 for negative EV bets.