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g-leech/kelly_house.py

Created August 20, 2019 14:28
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Kelly bound on house insurance premium
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kelly_house.py
import numpy as np
probability = 1/10000
wealth = 120000
houseValue = 100000
bound = probability * np.log(wealth - houseValue) \
+ (1 - probability) * np.log(wealth)
maxPremium = wealth - np.exp(bound)
maxPremium
# 21.499187504436122
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