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Kelly Can't Fail
Introduction You may have heard of the Kelly bet allocation strategy. It is a system for correctly exploiting information or bias in a gambling situation. It is also known as a maximally aggressive…
I recently ran into a strange card game where the Kelly strategy is risk free with zero variance. Kelly strategies guarantee to not “bust” (lose all of the money) and to maximize the expected growth rate of the logarithm of the stake. The single strategy that correctly guesses the entire deck ends experiences 52 doublings and no losses.
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