bankroll concepts - risk of ruin

[BillC]

1. You must take into account future bankroll supplements when discussing risk of ruin. If you do not, any discussion seems absurd. If you have an alternate bankroll model you will just have to end up converting it to the traditional notion - I think. If you have another way to do it, I'd love to hear it.

2. Kelly model is a good continuous approximation to discrete reality. You readjust your betting levels in stages, approximating Kelly or fraction thereof. The approximation is very good in practical terms.

I think it is best to start with a Kelly model for bankroll and factor other considerations in. I mean, what are you going to do otherwise? Just use seat-of-the-pants numbers like 25%?

If you cannot drop down in stakes, at some point you might be well-advised to stop playing. The cardinal sin of the Kelly criterion is to overbet you bankroll. Betting twice kelly (ROR=1/e) or more leads to negative bankroll growth.

Of course having confidence you are winning is of paramount importance. Obviously most are losers.
People complain about all this splitting of hairs over bankroll, when they should be talking about poker. But some of us split hairs for a living.