Why Bet Kelly? 2022-11-29T18:47:23.142Z

Comment by Joe Zimmerman (joe-zimmerman) on Why Bet Kelly? · 2022-11-29T23:19:07.355Z · LW · GW

No -- you should bet so as to maximize $E\left[U\right]$. If $U\left(W\right)=\log W$, and you are wagering $W$, then bet Kelly, which optimizes $E\left[\log W\right]=E\left[U\right]$. However, if for some reason you are directly wagering $U$ (which seems very unlikely), then the optimal bet is actually YOLO, not Kelly.