https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterionWhere am I going wrong with this?Assume someone is tossing a coin and offering £1.50 every time you call right but you only have to pay £1 when you are wrong.If you have a starting bank of £100. According to the Kelly Criterion on your first bet yhttps://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=472160253#472160253Lori wrote:So, trying that again, now I've confused people - likely including myself.100.00 16.67 lost -16.67. . . . . 108.51 using Kellyand 52.5 + 20 + 32.5 = 105 Using level stakes.That looks a better example, sorry about that. HopefullyFri, 29 Oct 2010 16:14:14 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=472021149#472021149what you might find instructive is to look at your results if you build in a known error in your edge estimate.Thu, 28 Oct 2010 15:09:53 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=472020973#472020973the optimal kelly fraction simply falls out of the derivative of the profit curve from first principles.Thu, 28 Oct 2010 15:08:37 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471982385#471982385No wonder the poor man topped himself. RIP.Thu, 28 Oct 2010 09:32:34 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471974129#471974129Yes, but in the first example the choice of £10 appears to be arbitrary (I think it comes from dividing £100 by 10 tries, thus ensuring you can't run out of money before the 10 tries are up - something Kelly, by definition, doesn't have an issue wiThu, 28 Oct 2010 08:18:00 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471969033#471969033Just a comparison bushy (Comparing Kelly to levels)Thu, 28 Oct 2010 07:26:35 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471967009#471967009Where's the £10 level stake come from?Thu, 28 Oct 2010 07:00:10 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471959081#471959081Many thanks for that Lori. I have been pressing buttons on my calculator for some time trying to get the 10-bet sequence to 'work' better than level stakes. I have been using half-Kelly betting for some time but have relied on using a calculator to wThu, 28 Oct 2010 05:12:02 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471958281#471958281Now...who's going to win the 2 o'clock at Fontwell...Thu, 28 Oct 2010 04:59:13 -0500https://community.betfair.com/general_betting/go/thread/view/94082/26148261/a-little-exercise-to-get-the-brain-ticking-over-kelly-criterion?post_id=471956065#471956065In a similar vein, if you extend the maths to 10 throws:Winners Prob (K) (L)0 0.001 16.151 01 0.010 24.226 252 0.044 36.339 503 0.117 54.508 754 0.205 81.762 1005 0.246 122.643 1256 0.Thu, 28 Oct 2010 04:15:22 -0500