Re: post on -EV hedging
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Obviously I made a wording mistake, make it:
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I do not think this is optimal result from sportsbetting perspective.
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I think what you really mean to say is that it is not optimal from your own personal perspective.
Kelly serves to maximize the expected growth of bankroll. The fact that this isn't your goal (implying, that like most people, your preferences are not logarithmic) is completely acceptable -- economics is very nonjudgmental that way. But that doesn't change the objective fact that for an investor looking to maximize bankroll growth, there is only one solution to the allocation problem above, and that's the one given by Kelly.
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Anyway my counterexample was wrong for the very reason I noted. The BR size really needs to be viewed as 112% so now we are actually risking 32% to win 38%, which is no longer attractive.
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One might argue that your alternate solution was actually wrong (at least from the perspective of bankroll growth maximization) because it was based on personal preference rather than on the underlying mathematics. [img]/images/graemlins/wink.gif[/img]
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