Quote:
Originally Posted by London Colin
Firstly, there seems to be a chicken-and-egg issue. Which should come first, the total bet to then be subdivided, or the individual bets to then be scaled in some way? It seems to me that if we calculate an overall total Kelly bet, based on the assumption of betting equal amounts on each sub-bet, then that total bet is invalidated as soon as we start resizing the sub-bets.
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That is correct. After thinking about this some more I adopted your approach of determining the optimal ratio of Bet A to Bet B first, then using that to calculate the proper Kelly bet. I sent you a PM with the complete details including a revised solution to this problem. For those of you playing at home, I got rounded bet sizes of $338 for the 6:1 shot and $427 for the 7:1 shot for a 44.2%/55.8% split. Somehow I stumbled onto a fairly correct initial estimate even though my methodology was invalid.
-Sonny-
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It's not the size of your bankroll, it's how you leverage it!
Last edited by Sonny; November 6th, 2009 at 01:05 PM.
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