Kelly Criterion can, and in fact by definition is best used for, betting in systems which are non-ergodic. It by definition maximises expected GEOMETRIC GROWTH RATE, even in systems with absorbing states.
but also reduce the volatility and the risk of ruin.
I mean risk of ruin is still exactly 0 with kelly criterion.
You want to avoid maximising expected VALUE in these type systems (akin to going all in whenever EV is anything greater than 0).
Kelly Criterion can, and in fact by definition is best used for, betting in systems which are non-ergodic. It by definition maximises expected GEOMETRIC GROWTH RATE, even in systems with absorbing states.
I mean risk of ruin is still exactly 0 with kelly criterion.
You want to avoid maximising expected VALUE in these type systems (akin to going all in whenever EV is anything greater than 0).