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Mathematics of cube decisions relative to bankroll

Posted By: Maik Stiebler
Date: Monday, 13 May 2013, at 8:33 p.m.

In Response To: Mathematics of cube decisions relative to bankroll (Bob Koca)

That's one way to look at it, but Kelly betting maximises the expected utility of someone with a logarithmic utility also in the long run. I'd certainly wish to maximise my expected utility instead of its expected growth rate.

By the way, there seems to be a problem with the concept of growth of a logarithmic utility: There is a singularity at a bankroll of 1, whatever the unit may be.

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