> In theory, Kelly is optimal...
It's optimal for one utility function (log of future $), but that doesn't make it necessarily optimal for everything, right?
It's optimal for one utility function (log of future $), but that doesn't make it necessarily optimal for everything, right?
If we’re close to an investment goal, like saving a house downpayment or retiring, the calculus is quite different. Even outside that, loss aversion is a real thing and we’re likely happier trading some upside for being able to sleep at night.