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Old 08-31-2005, 05:58 AM
PairTheBoard PairTheBoard is offline
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Join Date: Dec 2003
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Default Re: Am I stupid? I can\'t fit these two concepts into any type of harmony.

[ QUOTE ]
Well, OK you have a point--maybe it is more precise to say

the rate of growth of the expected bankroll is zero at twice Kelly

where the bankroll B(t) is geometric Brownian motion, which is at the foundation of Kelly betting theory, and is a standard topic in graduate courses in stochastic processes. See our paper cited in my July magazine article.

[/ QUOTE ]

Ok Bill. After looking at your article Risk Formulas I'll settle for the term "Expected Growth Rate" as in the Expected Growth Rate for the Bankroll. However, I don't see what the "Expected" can refer to except the Expected Value of a specially defined "Growth Rate" random variable.

PairTheBoard
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