All of isaac.august's Comments + Replies

I don't quite understand. Going with the worked out example in the post you link to:

To account for the compounding nature of losses, we can use the geometric expectation of total wealth instead of the arithmetic expectation of gains/losses when evaluating the alternatives. This is the mathematically correct thing to do, although I leave out the proof. If you want to dig into the gory details, see The Kelly Capital Growth Investment Criterion; MacLean, Thorp, & Ziemba; World Scientific Publishing; 2011. Yes, it’s that Thorp.

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1Paul Lang
Not an expert, but to me this math checks out.