← 返回数学题库
5893概率简单derivationshort

Deriving the Even-Money Kelly Fraction

题目

You repeatedly bet a fraction ff of your current wealth on an even-money wager that wins with probability p>12p>\tfrac12 (you gain the staked amount on a win, lose it on a loss). By maximizing the expected logarithm of your wealth multiplier over one round, derive the growth-optimal fraction ff^*.

解题计时

0:00

提交作答时记录,用于后续平均用时统计。

你的答案