Money management questions.

[Ra77er]

Specifically between Kelly and flat betting which one is optimal for a single season/year of plays (approximately 1200 wagers). I'm looking for a solid strategy that is high risk/high reward because the starting bankroll is a replenishable amount (2k). Options I have been looking at are:

1) Half Kelly betting, resetting bankroll everyday.
2) Flat betting 5% per play of intial bankroll for the entire year.
3) Flat betting 5% per play of bankroll, resetting everyday.


If I had a 10-50k bankroll then I would think a less risk strategy would be optimal to protect your investment but for the average/recreational bettor what money management option would be best for growing the baby roll on top of prolonging reloads? Any information/advice would be greatly appreciated.

[LVHerbie]

Assuming you have sound reasoning for being required to be limited this way the questions I would ask myself is how often and to what amount total are you willing to replenish your "bankroll"? Since your bankroll really isn't one if you going to replenish it these questions should lead closer to defining your situation to what is more commonly considered one...

For example while betting 5% might be okay with a 2k working bankroll it would be silly if you are down to your last 200 or might be way to high if you built your roll to amount that is large amount relative to total you are really willing to replenish...

[RudyRuetigger]

The first thing you need to do is find out if you are actually a winning bettor.

If that is true and the bankroll as you say can be easily replenished, then full Kelly is the clear choice.

[Ra77er]

First of all thank you LV and Rudy for responding.

LV- Please forgive me I'm not the most educated but what I think your implying is that if I were to hit a streak of variance and found my bankroll plus or minus a considerable amount then my investment strategy would have to change to suit my current bankroll? So if I were to have 200% ROI then I would bet a smaller % in order to protect what I don't consider replenishable, is this what your getting at? I understand what your saying that its not really a bankroll if its replenishable on the other hand. Maybe I need to simplify my question and say that if I were to give 2k to you, what money management method would you use to invest that over a one year period in sports (assuming all you would ever get was the 2k).


Rudy I understand that over estimating your edge can cripple a bankroll utilizing full kelly. I assumed half kelly or fractional kelly was the norm for bettors that were proven winners over the long term. I guess your right though betting full kelly would be optimal if I am looking for a high risk/reward scenario.

[RudyRuetigger]

it depends on how well you can quantify your edge in each scenario.

do your games you feel great about actually hit more than the games you feel have a slight edge? if so, kelly is the clear choice...yes half kelly or a lesser variation is most often used.. i was just saying full kelly if it really is replenishable.

[Ra77er]

I guess my thought process is over the long term Kelly betting would show a larger profit and thus being the +EV method of investing IF you were a proven winner but with everything going on with offshore (DOJ) etc I personally think leaving assets in an uncertain market for an extended period of time is a bit foolish. Thus resetting assets each year and negating the long term EV of Kelly. If your a losing bettor then obviously its not going to matter how your throw your money at the man but how fast, so Im speaking hypothetically here about a winning bettor over the course of one year.

[LVHerbie]

The first thing you need to do is find out if you are actually a winning bettor.

If that is true and the bankroll as you say can be easily replenished, then full Kelly is the clear choice.

Full Kelly of what?

Ignoring that your first sentence is probably of more importance and assuming things like the bettor can accurately quantify his edge he could be betting a large multiply of full Kelly (and in some cases his whole roll) depending on the status of his working bankroll and how many more times he is willing to replenish it...

Unless the bettor can specify fairly accurately how many shots he is willing to take (ie his real bankroll) I don't see how Kelly Criterion can have much application in this example...