The trade-off between growth and risk in Kelly's gambling and beyond
D. Lacoste, L. Dinis, S. Cavallero, R. Pugatch, A. Rousselot
The paper generalizes Kelly's gambling model to non-diagonal odds matrices, deriving a risk-growth trade-off and linking it to a game-theoretic formulation.
bioRxiv · Nov 7, 2023Biophysics