And that big word was "Certainty Equivalence". It's so big, you should google it. But the jist is that if your bankroll is unlimited, then CE = EV, but really, who has an unlimited bankroll? With an unlimited bankroll, the CE of say FPDW with perfect play is about 0.76% (of a betting unit). At 10x the Kelly bankroll, the CE is about 19/20ths of the EV or 0.72%. At double the Kelly bankroll, the CE is about 3/4ths or 0.57%. At the Kelly bankroll, the CE is about 1/2 or 0.38%. At half a Kelly bankroll, the CE is 0, and for a smaller bankroll the CE goes negative. Just something to consider.
CE is approximately EV - Variance/2xBankroll betting units
Kelly bankroll is approximately Variance/EV betting units
__._,_.___
| Reply via web post | Reply to sender | Reply to group | Start a New Topic | Messages in this topic (1) |
.
__,_._,___
