Comment Comment by choffstein "Kelly maximizes utility of money modeled as a logarithmic function."Absolutely true, but consider what log utility also creates a decision rule that leads to growth-rate optimization under multiplicative bets.You may find these notes from Ole Peters interesting https://ergodicityeconomics.files.wordpress.com/2017/03/ergo... parent choffstein 8 years ago
Absolutely true, but consider what log utility also creates a decision rule that leads to growth-rate optimization under multiplicative bets.
You may find these notes from Ole Peters interesting https://ergodicityeconomics.files.wordpress.com/2017/03/ergo...