If you want to see the same as above but with exit capital N=1200
the
input
gives the output.
If you want to see the same as above but with exit capital N=2000
the
input
gives the output.
If you want to see the same as above but with exit capital N=3000
the
input
gives the output.
If you want to find the Best Kelly factor when the prob. of winning a single round is
p=5/9, you need to exit the casino with 100 dollars, your current capital is
(1/2)*100=50 dollars, and your risk-aversion level is 95/100 (i.e. you are willing
to take up to a 5 percent chance of losing your capital), then
the
input
gives the output
If as above,
you want to find the Best Kelly factor when the prob. of winning a single round is
p=5/9, you need to exit the casino with 100 dollars, your current capital is
(1/2)*100=50 dollars, but now your risk-aversion level is 99/100 (i.e. you are only willing
to take up to a 1 percent chance of losing your capital), then
the
input
gives the output
If as above,
you want to find the Best Kelly factor when the prob. of winning a single round is
p=5/9, you need to exit the casino with 100 dollars, your current capital is
(1/2)*100=50 dollars, but now your risk-aversion level is 999/100 (i.e. you are only willing
to take up to a .1 percent chance of losing your capital), then
the
input
gives the output