Quantcast
Channel: Active questions tagged expected-value - Mathematics Stack Exchange
Viewing all articles
Browse latest Browse all 1315

Does the Kelly Criterion assume that all future bets will stay the same?

$
0
0

In most explorations of the Kelly Criterion I’ve seen, we’re deciding the % of our bankroll to apply to a bet under the assumption we will be repeatedly faced with the same bet many times.

I’m curious whether anything about the analysis changes if we relax this assumption e.g if each successive bet we face is drawn from some distribution (either indecently or not). In these cases does Kelly still focusing on maximising the log of wealth, or does this complicate things in a meaningful way

If this is too broad a question, any pointers to a good resource would be appreciated!


Viewing all articles
Browse latest Browse all 1315

Latest Images

Trending Articles



Latest Images