Should note the disadvantages....in the wiki link.
The optimum bet for the greatest growth of bankroll is making the full bet suggested by the Kelly criterion, but this produces a volatile result. There is a 1/3 chance of halving the bankroll before it is doubled. A popular alternative is to bet only half the amount suggested which gives three-quarters of the investment return with much less volatility. Where money would accumulate at 9.06% compound interest with full bets, it still accumulates at 7.5% for half-bets.
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04-05-08, 07:31 PM
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