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Kelly criterion question

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arberto
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Kelly criterion question

Sun Mar 31, 2019 2:23 pm

Hy, I didnt posted much, but will now a little. If you use kelly criterion and that calculation tells you to place 20$ bet with 100$ bankroll, how much do you place later in day if you find new value bet, but old one didn't settled yet. You now have 80$ and one bet that is gonna be played later. Do you just calculate kelly from 80$ that is left, or you put into calculation that one pending bet you have? If so, how?
kefalas68
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Re: Kelly criterion question

Sun Mar 31, 2019 5:19 pm

Kelly criterion Hypothesis is very simple actually. Where there is big value place larger bets ( This is very simplified , but that is the conclusion ). When you start with an initial bankroll of 100 as you say it is rather impossible to get a 20 bet unless the value is huge. Nevertheless you should apply the kelly criterion to whatever the current bankroll ( at the time of placing a bet ) is.
That way if lets say you have 100 initial bankroll and you get lets say a 10% value you will be prompted ( regarding again the margin you have set up at kelly ) to place a bet at a 10 stake. The same stake would be placed at 5 when bankroll is 50 and so on. There are some kelly calcs you could use to place bets out there.
pythonic
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Re: Kelly criterion question

Mon Apr 01, 2019 10:36 am

arberto wrote: Hy, I didnt posted much, but will now a little. If you use kelly criterion and that calculation tells you to place 20$ bet with 100$ bankroll, how much do you place later in day if you find new value bet, but old one didn't settled yet. You now have 80$ and one bet that is gonna be played later. Do you just calculate kelly from 80$ that is left, or you put into calculation that one pending bet you have? If so, how?
That's actually not a trivial problem but you could calculate a conservative stake with 80 bankroll and and aggressive stake with 100. It probably won't make much difference unless you have lots of bets running in parallel, but when in doubt, go for the conservative stake.
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Re: Kelly criterion question

Tue Apr 02, 2019 10:17 am

nickolas
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Re: Kelly criterion question

Wed Apr 10, 2019 4:36 pm

RebelBetting wrote: We've written an article about it here: https://www.rebelbetting.com/faq/adjusting-your-bankroll-while-betting-to-reduce-variance
...and this is a really fine answer. Thanks!
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Re: Kelly criterion question

Thu Apr 11, 2019 6:15 am

nickolas wrote:
RebelBetting wrote: We've written an article about it here: https://www.rebelbetting.com/faq/adjusting-your-bankroll-while-betting-to-reduce-variance
...and this is a really fine answer. Thanks!
You're welcome!  :)

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