The Kelly criterion generalises just fine to continuous, simultaneous, complicated allocations.
All it takes is a list of actions which we are choosing from (and these can be compound actions with continuous outcomes) and the joint probability distribution of wealth outcomes after each action.
Incorrect. https://entropicthoughts.com/the-misunderstood-kelly-criteri...
The Kelly criterion generalises just fine to continuous, simultaneous, complicated allocations.
All it takes is a list of actions which we are choosing from (and these can be compound actions with continuous outcomes) and the joint probability distribution of wealth outcomes after each action.