Kelly criterion proves most funds overbet 2-10x optimal size — guaranteed eventual blowup
Shkreli's simulator shows even a 60/40 edge leads to certain ruin if position size exceeds Kelly optimum; virtually all hedge funds and retail traders run 2-10x Kelly leverage, making blowups mathematical inevitability rather than bad luck. The only sustainable approach is chronic underbetting (half/quarter Kelly) with large cash reserves.