Kelly betting is the optimal strategy to maximise log wealth, given a fixed number of betting opportunities. The number of betting opportunities is often not fixed. If all bets take time to pay off, and you have a limited amount of starting capital, the optimal strategy is to take many tiny bets.
Another reason to avoid large bets more strongly than kelly is correlated failure. Kelly betting implicitly assumes your bets are independent. (at least bets that run at the same time.)
Then the probability of winning the bet is dependant on the amount of money involved. People are more likely to go to substantial effort to ensure they win (or to cheat) if substantial amounts of money are involved.
Plus, I suspect there is a sense in which separating fools and their money doesn’t feel good. If you found a whole load of flat earthers who were quite willing to bankrupt themselves with stupid bets (about say where in the sky the moon would be next week), would you grab all their money and feel good about it? Or would you feel you were using peoples ignorance against them, it wasn’t their fault their stupid?
Kelly betting is the optimal strategy to maximise log wealth, given a fixed number of betting opportunities. The number of betting opportunities is often not fixed. If all bets take time to pay off, and you have a limited amount of starting capital, the optimal strategy is to take many tiny bets.
Another reason to avoid large bets more strongly than kelly is correlated failure. Kelly betting implicitly assumes your bets are independent. (at least bets that run at the same time.)
Then the probability of winning the bet is dependant on the amount of money involved. People are more likely to go to substantial effort to ensure they win (or to cheat) if substantial amounts of money are involved.
Plus, I suspect there is a sense in which separating fools and their money doesn’t feel good. If you found a whole load of flat earthers who were quite willing to bankrupt themselves with stupid bets (about say where in the sky the moon would be next week), would you grab all their money and feel good about it? Or would you feel you were using peoples ignorance against them, it wasn’t their fault their stupid?