Re: A Simple Kelly Problem I Can\'t Solve
The answer is easy: which option maximizes your expected growth?
If you don't want the risk then you obviously arb, but you want to know what the Kelly answer is, so there you have it. [img]/images/graemlins/smile.gif[/img]
I'll leave you to do the math, but I imagine taking on the risk will give you a higher expected growth.
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