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5903概率简单数值题short

Capping the Single-Bet Drawdown

题目

You bet a fraction ff of wealth on an even-money coin with win probability p=0.65p=0.65, but a risk rule forbids any single losing bet from cutting your wealth by more than 20%20\%. What fraction should you bet, and for which win probabilities pp does this drawdown rule actually constrain you below the Kelly fraction?

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