Man, that's just beautiful - I love reading his notebooks. Just skimming them yields unexpected little gems like "the value of money is roughly logarithmic", which I had never heard before and gets me thinking about progressive taxation.
The final step of the St. Petersburg paradox, which he took far further than I had ever seen before, might be implementing the Kelly Criterion, where the amount you bet is related to the size of your own personal bankroll, but I don't know offhand how to relate that to a probability distribution since the Kelly Criterion is normally calculated with one odds value and one payoff value. At the least, I'd like to see a calculation of how many times you'd have to place the bet before you could be reasonably sure of a positive payout - you could do that easily enough with a monte carlo simulation I guess.
Good point, tunesmith, I should define a version of `util` that lets you start at your current personal bankroll, rather than at 0, and show how the amount you are willing to pay to play depends on how much you already have.
The final step of the St. Petersburg paradox, which he took far further than I had ever seen before, might be implementing the Kelly Criterion, where the amount you bet is related to the size of your own personal bankroll, but I don't know offhand how to relate that to a probability distribution since the Kelly Criterion is normally calculated with one odds value and one payoff value. At the least, I'd like to see a calculation of how many times you'd have to place the bet before you could be reasonably sure of a positive payout - you could do that easily enough with a monte carlo simulation I guess.