[borges]

Interesting links. Thanks Bruce. I just spent a few moments looking at
Stu Ethier's paper.....He is basically saying that this naive approach of just
matching up the win rate and variance is not justified. The bounds provided
in the paper rest upon matching the first four moments.

Did you by any chance ever compute/compare the bounds that Ethier et al provide with the simpler formulas given in the bankroll derivations? Everything here is very tail dependent right? Heavy tails would significantly skew a ruin probability calculation.....something that would be brought out by computing and matching higher order moments......am I wrong on this?

take care,

Jim

PS: I'm also sure that none of this will make any real practical difference to
a poker player looking for guidance on bankroll requirements. [img]/images/graemlins/smile.gif[/img]