Kelly can produce astronomical bet sizes that many aren’t comfortable with. There is such a
thing as peace of mind...
Playing around with the numbers and my own comfort level I came up with these personalized
values. I would -conservatively- set 60% as the maximum attainable winning expectation for any
model (even though that is not true), and bet 1/3 Kelly. That would mean that, at -105 odds, any
winning expectation of 60% or higher would automatically result in a 6% bet size. If I never bet
anything with a lower winning expectation than 54%, and always bet at -105 odds, that would
give me seven bet sizes:
54% - 1.89%
55% - 2.58%
56% - 3.26%
57% - 3.94%
58% - 4.63%
59% - 5.31%
60% and above - 5.99%
The difference per percentage point is roughly 0.7% of bankroll:
6.0 - 5.3 - 4.6 - 3.9 - 3.2 - 2.5 - 1.8.
Err on the side of caution. If my expectation was between 58% and 57%, I take the lower
of the two.
For comparison, for full Kelly a 54% winning expectation would produce a 5.68% (!) bet size
(with -105 odds). That may work for some, but not for me.
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If my maximum bet size was not 6% but 5% of bankroll, then I would simply use 2.0 - 2.5 - 3.0 -
3.5 - 4.0 - 4.5 - and 5.0 % of bankroll for winning expectations 54% through 60+%.