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5897概率中等数值题medium

Overbetting to Twice Kelly

题目

Under the small-edge approximation G(f)μf12σ2f2G(f)\approx \mu f-\tfrac12\sigma^2 f^2 for the expected log-growth of a repeated bet, the growth-optimal fraction is f=μ/σ2f^*=\mu/\sigma^2. At what (nonzero) betting fraction does the expected log-growth fall back to zero, and what does this say about the symmetry of growth around ff^*?

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