On: Kelly Criterion – how to calculate optimal bet siz...

[murbard2]

If it's a mistake, it's a charitable one. Picking log utility is at least somewhat principled, trying to lead almost surely to higher wealth is way more arbitrary.

[concreteblock → murbard2]

What exactly do you find arbitrary about this? When gambling or investing, more wealth is better than less wealth.

'Almost surely' is a technical term which means 'with probability 1'.

[murbard2 → concreteblock]

At no point in time does Kelly give you more wealth with probability 1, and there is no reason to care about "more wealth with high probability", that's not even a transitive comparison function.

[concreteblock → murbard2]

> At no point in time does Kelly give you more wealth with probability 1,

Either you're claiming that the theorem I attempted to describe is false, or you're misunderstanding the theorem I am trying to describe.

I never wrote anything about 'high probability' either so I don't know why you introduced that notion.