[cardmagic]

> That's not true. If you bet 99% of your money each time then there's still no probability that you go bankrupt (it's literally impossible to go bankrupt unless you bet all your money), and you make money much faster.

The huge mistake you're making is in assuming that money is infinitely divisible. Let's say you start with $1 and you bet 99 cents and lose. Now try betting 99% of 1 cent and see if you don't go bankrupt.

It's very simple to verify Kelly's findings by building a naive simulator.

[OscarCunningham]

>The huge mistake you're making is in assuming that money is infinitely divisible. Let's say you start with $1 and you bet 99 cents and lose. Now try betting 99% of 1 cent and see if you don't go bankrupt.

But then it's possible to go bankrupt even if you use the Kelly criterion.

[cardmagic]

Kelly criterion never claimed to prevent bankruptcy. It only tells you how to bet to achieve the maximum theoretical return possible given a set of odds and payouts.

I say theoretical because unless you're in a casino, you don't know the actual odds and edge you are playing with (because they move) which makes your Kelly ideal bet size a guess rather than a fixed number.

Here's more information: https://en.wikipedia.org/wiki/Kelly_criterion