Just another observation, maybe useful to others:
Approximate Kelly value = EV - Variance/Bankroll/2.
For large bankroll, Kelly value approaches EV.
For small bankroll, Kelly value approaches -Variance/2.
The crossover is at Bankroll = Variance/EV/2 at which the value is 0 for positive EV games and double the EV for negative EV games.
So, for example, a 99% return game has an approximate Kelly cost of 2% at a bankroll of Variance/EV/2 bets.
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Posted by: nightoftheiguana2000@yahoo.com
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