simultaneous kelly question

[maxdalury]

My first post.

I have been reading up on kelly and feel that I have a pretty accurate estimate of my edge with my baseball model. but since there are multiple games going on all the time, my questions are:

1. Is there anything that kelly says about simultaneous wagering? Is there any papers or any insight you can give me?

2. For those of you that use kelly or fractional kelly how do you wager? Just play x of your bets with the highest edge? Just play all bets at what kelly tells you (although that could put you at risk for all of your bankroll)?

Thanks

[waiverwire]

I can't completely answer your question, but here are some things to keep in mind:

1. You would only be thinking of simultaneous bets as separate bets if the results will be almost entirely uncorrelated. For example, two different games...probably ok. One side in a game as well as the over...probably not.

2. Assuming the results are uncorrelated, the main issue is that if you lose all of them, your bankroll size will be much smaller than if you had adjusted size after losing one bet that took place earlier than the others.

[MonkeyF0cker]

Read the following thread:

http://forum.sbrforum.com/handicapper-think-tank/24829-simultaneous-bet-kelly-staking-simplest-case.html

[u21c3f6]

I personally use a half-Kelly and very rarely have more than 3 wagers on at a time.

If I wanted to wager on more than 3 events at a time I would lower the % of bankroll that I use to make sure that the total wagered is not more than 2 full-Kelly wagers.

This works for me and keeps me within my comfort zone.

Joe.

[Ganchrow]

In addition to the thread suggested by MonkeyF0cker, also see http://forum.sbrforum.com/handicappe...readsheet.html and the Kelly Calculator.