A direct, brute force approach could be used to find the Optimal Portfolio.

Consider simple play. There's a **biased coin with 55% probability of win**. The simulator play as a **single person with 100$ playing N = 1000 continuous games**. Simulator tries all the possible **betting fractions**, and the one with the max win is chosen as **optimal betting fraction**.

$$\max\_{fraction} W = \max\_{fraction} \prod\_{i=1..N}R\_{i}$$

What worries me is that as the Wikipedia says **Kelly Criterion optimises logarithm of growth**, while this brute force simulation optimize the **final amount of money**: 

> 
> The Kelly bet size is found by maximizing the expected value of the **logarithm** of wealth, which is equivalent to maximizing the expected geometric growth rate.
> 
> 
> 

But, I believe it's the same thing. Kelly Criterion tries to optimise the average rate of growth 

$$R\_{average} = W^{1/n} = (\prod\_{i = 1..n}R\_{i})^{1/n} = {1\over n} \sum\_{i = 1..n}log(R\_{i})$$

So, the difference between brute force and Kelly is 

$$\max\_{fraction} W \space \space \space \space \space vs. \space \space \space 
 \max\_{fraction} R\_{average}$$

But, **it should be the same thing**, right? The parameters (the betting fraction) to optimise $W^{1/n}$ should be the same as to optimise $W$.

The Kelly Solution
==================

$$fraction = {p(b+1)-1 \over b} = {0.55(1+1) - 1 \over 1} = 0.1$$

The solution from the simulation is 0.11

The code
========

Results

```
risky play with 0.9 fraction won 0
safe play with 0.05 fraction won 5756.17
optimal play with 0.11 fraction won 27601.98

```

[Run and see it in action](https://codepen.io/apetrushinpost/pen/ExaMwmV)

```
// Biased coint with 55% probability of win, generated separately 
// because I don't trust built-in random generator in JavaScript.
const tosses = [1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 0, 0, 0, 0, 0, 1, 0, 1, 1, 0, 0, 0, 1, 0, 0, 1, 0, 1, 1, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 1, 1, 1, 0, 0, 1, 1, 1, 0, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 0, 1, 0, 1, 1, 0, 1, 0, 0, 0, 1, 1, 0, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 0, 0, 0, 0, 1, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0, 1, 0, 1, 0, 1, 1, 0, 1, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 0, 0, 1, 0, 1, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1, 1, 0, 0, 1, 1, 1, 0, 1, 0, 0, 0, 0, 0, 1, 1, 0, 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 1, 0, 1, 0, 0, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 1, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 1, 1, 0, 1, 0, 0, 0, 1, 0, 1, 0, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 1, 1, 0, 1, 1, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 1, 1, 1, 0, 1, 0, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 0, 0, 1, 1, 0, 1, 0, 0, 0, 1, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 1, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 1, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 0, 1, 1, 0, 0, 1, 0, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 1, 1, 1, 0, 0, 0, 0, 0, 1, 0, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 1, 0, 1, 0, 1, 1, 0, 0, 0, 0, 0, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 0, 1, 1, 1, 1, 1, 1, 0, 0, 1, 0, 1, 0, 1, 1, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 1, 0, 1, 0, 1, 1, 0, 0, 0, 1, 0, 0, 0, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 0, 1, 1, 0, 1, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 0, 0, 1, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 0, 1, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 0, 1, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 0, 0, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0, 0, 1, 0, 0, 0, 0, 1, 1, 0, 1, 0, 0, 1, 0, 1, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 0, 1, 0, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 0, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 1, 0, 1, 1, 0, 1, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 1, 1, 1, 0, 1, 0, 1, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 0, 1, 1, 0, 1, 1, 0, 0, 1, 0, 1, 1, 0, 0, 1, 0, 1, 1, 0]

// Playing with 100$
const play = (fraction) => {  
  let money = 100
  for (const toss of tosses) {
    // Win when `toss == true`
    money = toss == 1 ? money + money * fraction : money - money * fraction
  }
  return round(money)
}

// Playing two simple strategies 
// - risky - always bet 0.9
// - safe - always bet 0.05
println(`risky play with ${0.9} fraction won ${play(0.9)}`)
println(`safe play with ${0.05} fraction won ${play(0.05)}`)

// Searching for optimal fraction
let max_win = 0, optimal_fraction = undefined
for (let fraction = 0.01; fraction <= 0.9; fraction += 0.01) {
  const win = play(fraction)

  // Optimization criteria - maximum win after N plays
  const is_better = win > max_win

  if (is_better) {
    max_win = win
    optimal_fraction = fraction
  }
}

println(`optimal play with ${round(optimal_fraction)} fraction won ${max_win}`)

function println(msg) {
  console.log(msg)
}

function round(v) { return Math.round(v * 100) / 100 }

```

UPDATE
======

Code for classical Kelly Criterion, with the logarithm, [playground](https://codepen.io/apetrushinpost/pen/gObJVLJ)

I guess I know why the logarithm is preferred. It's more computationally stable and won't overflow numbers with exponential growth. And the logarithm is kinda more smooth and easier to work with than raw growth.

```
// Biased coint with 55% probability of win, generated separately 
// because I don't trust built-in random generator in JavaScript.
const tosses = [1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 0, 0, 0, 0, 0, 1, 0, 1, 1, 0, 0, 0, 1, 0, 0, 1, 0, 1, 1, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 1, 1, 1, 0, 0, 1, 1, 1, 0, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 0, 1, 0, 1, 1, 0, 1, 0, 0, 0, 1, 1, 0, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 0, 0, 0, 0, 1, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0, 1, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0, 1, 0, 1, 0, 1, 1, 0, 1, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 0, 0, 1, 0, 1, 0, 0, 0, 0, 1, 0, 0, 1, 0, 1, 1, 0, 0, 1, 1, 1, 0, 1, 0, 0, 0, 0, 0, 1, 1, 0, 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 1, 0, 1, 0, 0, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 1, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 1, 1, 0, 1, 0, 0, 0, 1, 0, 1, 0, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 1, 1, 0, 1, 1, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 1, 1, 1, 0, 1, 0, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 0, 0, 1, 1, 0, 1, 0, 0, 0, 1, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 1, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 1, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 0, 1, 1, 0, 0, 1, 0, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 1, 1, 1, 0, 0, 0, 0, 0, 1, 0, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 1, 0, 1, 0, 1, 1, 0, 0, 0, 0, 0, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 0, 1, 1, 1, 1, 1, 1, 0, 0, 1, 0, 1, 0, 1, 1, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 1, 0, 1, 0, 1, 1, 0, 0, 0, 1, 0, 0, 0, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 0, 1, 1, 0, 1, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 0, 0, 1, 0, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 1, 0, 0, 1, 0, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 0, 1, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 0, 0, 1, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 0, 0, 1, 0, 0, 0, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0, 0, 1, 0, 0, 0, 0, 1, 1, 0, 1, 0, 0, 1, 0, 1, 0, 1, 1, 1, 0, 0, 1, 0, 1, 1, 0, 1, 1, 1, 1, 1, 1, 0, 1, 1, 1, 1, 1, 0, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 0, 1, 1, 1, 0, 0, 0, 1, 0, 1, 1, 0, 1, 1, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1, 1, 0, 0, 1, 0, 0, 1, 1, 1, 1, 0, 0, 1, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 0, 1, 1, 1, 0, 0, 0, 0, 1, 1, 1, 0, 0, 0, 1, 1, 1, 0, 1, 1, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 1, 0, 1, 1, 0, 1, 0, 1, 1, 1, 1, 1, 0, 1, 0, 1, 1, 0, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 1, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 1, 1, 1, 0, 1, 1, 1, 0, 1, 0, 1, 1, 1, 1, 0, 1, 1, 1, 1, 0, 0, 0, 1, 1, 1, 1, 0, 1, 0, 0, 1, 1, 1, 1, 0, 1, 1, 0, 1, 1, 0, 0, 1, 0, 1, 1, 0, 0, 1, 0, 1, 1, 0]

// Playing with 100$
const play = (fraction) => {  
  let sum_ln = 0
  for (const toss of tosses) {
    // Win when `toss == true`
    let rate = toss == 1 ? (1 + fraction) : (1 - fraction)
    sum_ln += Math.log(rate)
  }
  return sum_ln / tosses.length
}

// Playing two simple strategies 
// - risky - always bet 0.9
// - safe - always bet 0.05
println(`risky play with ${0.9} fraction won ${play(0.9)}`)
println(`safe play with ${0.05} fraction won ${play(0.05)}`)

// Searching for optimal fraction
let max_win = 0, optimal_fraction = undefined
for (let fraction = 0.01; fraction <= 0.9; fraction += 0.01) {
  const win = play(fraction)

  // Optimization criteria - maximum win after N plays
  const is_better = win > max_win

  if (is_better) {
    max_win = win
    optimal_fraction = fraction
  }
}

println(`optimal play with ${round(optimal_fraction)} fraction won ${max_win}`)

function println(msg) {
  console.log(msg)
}

function round(v) { return Math.round(v * 100) / 100 }

```