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Comment by dale-c on [deleted post]
2024-02-08T09:05:02.231Z
Kelly Criterion can, and in fact by definition is best used for, betting in systems which are non-ergodic. It by definition maximises expected GEOMETRIC GROWTH RATE, even in systems with absorbing states.
but also reduce the volatility and the risk of ruin.
I mean risk of ruin is still exactly 0 with kelly criterion.
You want to avoid maximising expected VALUE in these type systems (akin to going all in whenever EV is anything greater than 0).