We consider two aspects of gambling with the Kelly criterion. Firstly, we show that for a wide range of final results for a series of games, the Kelly bettor would be worse off compared to a flat bets bettor. Secondly, we consider, for the Kelly bettor, situations similar to the gambler s (or his opponent s) ruin in the classical gambler s ruin problem. Here the end points are a reduction of the gambler s capital to a fraction, or its growth to a certain multiple, of its original value.
|Pages (from-to)||47 - 56|
|Number of pages||10|
|Journal||The Mathematical Scientist|
|Publication status||Published - 2011|