The optimal wealth growth rate equals lim n→∞ of n^{-1} times inf KL(Q^n, P) over the bipolar of the n-fold null set, which is achievable and cannot be exceeded.
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The optimal betting wealth growth rate
The optimal wealth growth rate equals lim n→∞ of n^{-1} times inf KL(Q^n, P) over the bipolar of the n-fold null set, which is achievable and cannot be exceeded.