Submission Title
Session Title
Session 3-2-D: The Math of Game Play
Presentation Type
Event
Location
The Mirage Hotel & Casino, Las Vegas, Nevada
Start Date
9-6-2016 10:30 AM
End Date
9-6-2016 12:00 PM
Disciplines
Statistics and Probability
Abstract
It is well known that an advantage gambler maximizes the average geometric growth rate by using Kelly betting. If the advantage is known precisely, then one can to use Full Kelly betting or, more commonly, some fraction of it. Systematic gamblers may have an advantage, but may not know exactly how large it is. This may be the case for e.g. sports bettors, blackjack and poker players and future traders. We show how they can estimate the fraction of full Kelly they have been employing, from their past results. This ongoing process enables them to select future bet sizing scientifically according to their risk tolerance. We use a geometric Brownian motion model to obtain a confidence interval estimator for the fraction of Kelly bet based on historical bankroll data.
Keywords
Optimal betting, proportional betting, Kelly betting, confidence intervals
Streaming Media
Included in
Estimating the Fraction of the Kelly Bet
The Mirage Hotel & Casino, Las Vegas, Nevada
It is well known that an advantage gambler maximizes the average geometric growth rate by using Kelly betting. If the advantage is known precisely, then one can to use Full Kelly betting or, more commonly, some fraction of it. Systematic gamblers may have an advantage, but may not know exactly how large it is. This may be the case for e.g. sports bettors, blackjack and poker players and future traders. We show how they can estimate the fraction of full Kelly they have been employing, from their past results. This ongoing process enables them to select future bet sizing scientifically according to their risk tolerance. We use a geometric Brownian motion model to obtain a confidence interval estimator for the fraction of Kelly bet based on historical bankroll data.
Comments
Attachment: PDF containing 28 slides
Title slide: Estimating Kelly Fraction
Audio recording of session is attached as a downloadable MP3 audio file, 59.16 MB. This speaker’s presentation begins at 18:33.