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New paper characterizes optimal betting wealth growth rate in Kelly games

This paper characterizes the optimal rate of wealth growth in a Kelly betting game when betting against a null hypothesis but drawing data from an alternative. The authors prove this rate equals a specific limit involving Kullback-Leibler divergence, which is generally smaller than a more commonly used quantity. They also establish conditions under which these two quantities are equal and derive the optimal worst-case growth rate against composite alternatives. AI

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IMPACT This paper provides theoretical insights into optimal growth rates in statistical testing, potentially informing future AI research in decision-making under uncertainty.

RANK_REASON This is a research paper published on arXiv.

Read on arXiv stat.ML →

COVERAGE [2]

  1. arXiv stat.ML TIER_1 · Ashwin Ram, Aaditya Ramdas ·

    The optimal betting wealth growth rate

    arXiv:2604.25280v1 Announce Type: cross Abstract: This paper characterizes the best possible rate of growth of wealth in a Kelly betting game when repeatedly betting against a general i.i.d. null hypothesis $\mathscr{P}$, but the data are drawn i.i.d from an arbitrary alternative…

  2. arXiv stat.ML TIER_1 · Aaditya Ramdas ·

    The optimal betting wealth growth rate

    This paper characterizes the best possible rate of growth of wealth in a Kelly betting game when repeatedly betting against a general i.i.d. null hypothesis $\mathscr{P}$, but the data are drawn i.i.d from an arbitrary alternative $Q$. We prove that it equals $\lim_{n \to \infty}…