Re: A Simple Kelly Problem I Can\'t Solve
Well it should be easy to calculate. Obviously the arb is the best if you can bet as much as possible, but in this case it depends on all the other variables as there are limits in place.
Lets say you have a 50/50 chance of winning (substitute the true odds / payoffs as necessary), then the growth function for the arb is:
0.5*ln(1+%Profit from Bet1)+0.5*ln(1+%Profit from Bet2)
Compare this with the bet that takes on the risk and you have your answer. Oh, and make sure you specify %Profit from the bets as % of your bankrolls...
I could probably make this clearer, but hopefully it makes sense. [img]/images/graemlins/wink.gif[/img]
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