Originally posted on 11/16/2011:

Simultaneous kelly is done by taking the product of 1-kelly for all simultaneous wagers and then multiplying each kelly amount by that product. So if I have two simultaneous bets, one calling for a full kelly wager of 2.5% and another calling for a 2% wager then I would bet (1-.025)*(1-.02)*2.5% = 2.387% on the first wager and (1-.025)*(1-.02)*2% = 1.91% on the second wager.