I'm reading Elements of Information Theory by Cover and Thomas and they touch on the fact that when computing the optimal betting strategy when the odds are subfair and one may not bet a certain amount of cash, proportional gambling is no longer log-optimal and Kuhn-Tucker conditions are required to find an optimal betting strategy. Are there any cases where Kuhn-Tucker conditions are not required to find an optimal strategy? For example, if we have side information that reduces the number of horses that can win?
2026-04-05 20:17:17.1775420237
Subfair odds and Kuhn-Tucker conditions
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