Kelly Bankroll

[Bullajami]

Brother Data posted this in another thread:

A Kelly bankroll includes one's net worth plus future earnings. Even if their net worth is zero the earnings for the next couple of years alone will make up for this.

This does not completely make sense to me and got me thinking enough to start a new thread on the topic.

I have a decent grasp of the Kelly Criterion. My thoughts in applying it to sports betting are that I should be betting a fractional Kelly amount until I am fully confident that I can estimate the value I am getting on each bet.

With this additional information from Data, however, I am now uncertain as to how to evaluate my own bankroll.


Two days ago I could have told you what my bankroll was to within $0.10. I have an amount set aside for sports betting. It is completely separate from my family finances. I even keep it in a separate bank. I have no intention of ever adding to it from other sources EXCEPT poker play. I play poker in addition to sports betting.

I have a (more or less) fixed amount in my poker bankroll. I keep it within a certain range. I am not interested in moving up limits from where I currently play. When I hit the upper end of my poker bankroll range, I dump some into the sports betting bankroll. I play poker when the mood strikes me, and that bitch, Variance, has a strong influence on short term results in poker just like in sports betting - therefore I am hesitant to try to predict how much and how often I would add poker funds to my sports betting bankroll.

Now if I hit the lottery, have a rich uncle I don't know about, etc. I might dump some additional money into my sports betting bankroll. I can't count on that unexpected manna from heaven, however. But it could happen. Am I underbetting Kelly (by underestimating my bankroll) if I don't account for this?

What if I am hit by a bus next week? Am I over betting my Kelly bankroll?

How do I evaluate my bankroll for Kelly betting purposes?

[reno cool]

I'm sure you're not asking advice from me, but stick to what you're doing.
I doubt that you'd want to put all of you're finances including future expected income through a roller coaster ride. Especially if you have "family finances" and work.

[Bullajami]

While I am always happy to provide an entertaining post, I was hoping for some serious answers as to how one goes about calculating their Kelly bankroll. Thanks!

[marcoforte]

After reading many pro and con tomes on Kelly including the original published journal papers I stick to 1/40 of my initial starting bankroll and I sleep for the season. To me, it's not worth the math to get fancier. This is not my full-time job. $100 better needs to start with a 4k bankroll.

[reno cool]

After reading many pro and con tomes on Kelly including the original published journal papers I stick to 1/40 of my initial starting bankroll and I sleep for the season. To me, it's not worth the math to get fancier. This is not my full-time job. $100 better needs to start with a 4k bankroll.

this seems like a conservative approach, but its probably what you have to do if your going to consider everything you have and expect to earn as bankroll. I'm surprised the experts haven't chimed in. I'm curious to see if anybody would suggest betting full Kelly in this situation, even if you're 100% certain about your edge.
If you want to use all of your potential income as bankroll you'll probably want to bet a much smaller fraction. So the difference would be you would bet roughly same amount to start, but vary sizes less after wins and losses.

[durito]

if I was 100% certain about my edge, I would bet full kelly and beg, borrow, and steal to increase my bankroll.

[reno cool]

for some reason I like you Durito, but why does englishmike hate you so much?

[Thremp]

Hrm. That is quite a unique insult. A "fvckin lemon".... I may have to incorporate that into my everyday speech.

[RickySteve]

if I was 100% certain about my edge, I would bet full kelly and beg, borrow, and steal to increase my bankroll.

What you can beg, borrow and steal is already part of your bankroll.