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jsteinhardt comments on How much to spend on a high-variance option? - Less Wrong Discussion

9 Post author: RolfAndreassen 03 January 2013 06:38PM

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Comment author: jsteinhardt 04 January 2013 06:10:10PM 1 point [-]

I was under the impression that for infinite repeated play, no matter what your actual utility function is (as long as it is increasing and the total number of dollars is bounded), it turns out that the optimal single-turn strategy "looks like" betting with a logarithmic utility function --- hence the Kelly Criterion.

I don't know much about this though so could be mistaken.