Does it make sense to apply the Kelly Criterion to Hanson's LMSR? It seems to intuitively, but my math skills are too weak.
What do you mean by applying Kelly to the LMSR?
Since relying on Kelly is equivalent to maximizing log utility of wealth, I'd initially guess there is some equivalence between a group of risk-neutral agents trading via the LMSR and a group of Kelly agents with equal wealth trading directly. I haven't seen anything around in the literature though.
"Learning Performance of Prediction Markets with Kelly Bettors" looks at the performance of double auction markets with Kelly agents, but doesn't make any reference to Hanson even though I know Pennock is...
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.