Dan wrote: "So is it really a good idea to use variance for the Kelly calculation?
How about a Kelly calculation that uses the Sorokin RoR instead of
variance? Then you would have be best of both types of calculation."
The use of variance for Kelly is an approximation. You can get the exact Kelly number using a spreadsheet and taking the log of bankroll growth for each win, then finding the optimum bankroll by interation. It's a process similar to finding the ROR number, just different equations. Jazbo says the Kelly for AA is 3369 while I have solved the Kelly for FPDW as 2925 using the hand occurance numbers from the wizard. The advantage of using the approximation for the Kelly number (variance/edge) is that it can be calculated on the fly in your head.
I find both Kelly and ROR useful, Kelly of course for the Kelly system, while ROR answers the question of what are the odds of losing X amount of money, which is also useful in many situations.
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Posted by: nightoftheiguana2000@yahoo.com
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