The comments section here and the post and comments section here. To be completely frank, my post started out as a comment similar to yours in those threads. “I’m not sure what led you to post this”. (Especially the Calculating Kelly post which seemed to mostly copy and make worse this comment).
I’ve rarely heard Kelly described as corresponding to log utility,
I actually agree with you that aside from LW I haven’t really seen Kelly discussed in the context of log-utilities, which is why I wanted to address this here rather than anywhere else.
only ever as an aside about mean-variance optimization
Okay, here our experiences differ. I see Kelly coming up in all sorts of contexts, not just relating to mean-variance portfolio optimization for a CRRA-utility or whatever.
If anything, I’d say that the Kelly—log utility connection obviously suggests one point, which is that most people are far too risk-averse (less normatively, most people don’t have log utility functions). The exception is Buffett—empirically he does, subject to leverage constraints.
So I agree with this. I’d quite happily write the “you are too risk averse” post, but I think Putanumonit already did a better job than I could hope to do on that
The comments section here and the post and comments section here. To be completely frank, my post started out as a comment similar to yours in those threads. “I’m not sure what led you to post this”. (Especially the Calculating Kelly post which seemed to mostly copy and make worse this comment).
I actually agree with you that aside from LW I haven’t really seen Kelly discussed in the context of log-utilities, which is why I wanted to address this here rather than anywhere else.
Okay, here our experiences differ. I see Kelly coming up in all sorts of contexts, not just relating to mean-variance portfolio optimization for a CRRA-utility or whatever.
So I agree with this. I’d quite happily write the “you are too risk averse” post, but I think Putanumonit already did a better job than I could hope to do on that