Dan wrote: "2. What to do if any RoR is unacceptable? Kelly does not answer this
adequately for video poker because it is impossible to vary your bet
size in small increments. The only way to absolutely avoid ruin is,
DON'T PLAY AT ALL."
If this were true, Kelly would be useless in the real world. When was the last time you were able to bet $23.42 at a blackjack table? The solution is that it's not true, it's just more Kelly bashing.
Now, I'll let you in on a little secret. Any fractional betting system will avoid bankruptcy. It's just that Kelly is the optimal fractional betting system if you assume a log utility function, or in plain English it is important to you how long it takes to double your bankroll. And yes in the real world there are only certain fixed bet sizes, but given this constraint Kelly is still the optimal solution given a log utility function.
Here it is 2015 and it still amazes me the kind of misinformation that floats around about Kelly. Seriously, if you want a basic understanding of Kelly that doesn't require any math background, read Poundstone's "Fortune's Formula".
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Posted by: nightoftheiguana2000@yahoo.com
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