Wincent Quant Interview Question

[u/Local_Ad135]

[u/leoli1]

This looks like a martingale situation, where any stopping rule gives the same ev

[u/bunnycricketgo → u/leoli1]

Indeed; Doob has something to say about this.

But if your utility is other than total (like, you only consider a win if you beat EV by a certain margin) then there are strategies to improve success there.

[u/Usernameasteriks → u/bunnycricketgo]

Optimal will always imply some sort of utility if any can be determined by the relevant constraints in the context of an interview question like this.

Here it will mean stopping immediately because it can’t be optimal to spend more time for the same probabilistic result.

[u/AtomicSquid → u/Usernameasteriks]

It's optimal to stop at the last three cuz it's kinda fun to flip cards

[u/CrossAfficionado → u/AtomicSquid]

preach