Posted by Steve Heston on July 02, 1997 at 11:38:32: In Reply to: Exponential Growth !! and Logarithmic Growth ?? (long) posted by Richard Reid on July 01, 1997 at 21:33:57:"Kelly" proportional betting maximizes the expected logarithm of bankroll. This is always less than the logarithm of expected bankroll. The expected logarithm of "Kelly" bankroll is only half the logarithm of expected "Kelly" bankroll. Due to the multiplicative effect of proportional betting the law of large numbers applies to the logarithm of your bankroll, not to your bankroll. Your results will converge to their expected logarithm per hour. Consequently a "Kelly" bettor will eventually become richer than a "non-Kelly" bettor. But a player with non-logarithmic preferences should not necessarily bet according to Kelly.
- Absolutely!! Questions?? Richard Reid 18:24:50 7/02/97 (3)
- Answers Steve Heston 21:28:33 7/02/97 (2)
- Re: Answers David D'Aquin 07:03:24 7/03/97 (0)
- Thank you !! Richard Reid 22:43:53 7/02/97 (0)
- Re: We desperately need a "Kelly" FAQ correct Mike Lea 12:47:17 7/02/97 (0)