Bounded Rationality (Posts about Thorp)http://bjlkeng.github.io/enSat, 03 Aug 2024 01:42:48 GMTNikola (getnikola.com)http://blogs.law.harvard.edu/tech/rssOptimal Betting Strategies and The Kelly Criterionhttp://bjlkeng.github.io/posts/optimal-betting-and-the-kelly-criterion/Brian Keng<div><p>My last post was about some <a class="reference external" href="http://bjlkeng.github.io/posts/gamblers-fallacy-and-the-law-of-small-numbers/">common mistakes</a> when betting
or gambling, even with a basic understanding of probability. This post is going to
talk about the other side: optimal betting strategies using some very
interesting results from some very famous mathematicians in the 50s and 60s.
I'll spend a bit of time introducing some new concepts (at least to me), setting up the
problem and digging into some of the math. We'll be looking at it from the
lens of our simplest probability problem: the coin flip. A note: I will not be
covering the part that shows you how to make a fortune -- that's an exercise
best left to the reader.</p>
<p><a href="http://bjlkeng.github.io/posts/optimal-betting-and-the-kelly-criterion/">Read moreā¦</a> (12 min remaining to read)</p></div>bettingKelly CriterionmathjaxprobabilityShannonThorphttp://bjlkeng.github.io/posts/optimal-betting-and-the-kelly-criterion/Sun, 15 Nov 2015 21:13:31 GMT