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#1
07-18-2007, 03:49 AM
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post on -EV hedging
for those of you who don't read my blog (and there's hardly an excuse for that [img]/images/graemlins/grin.gif[/img]), i wrote a long-winded post on hedging and when it is correct to do so at the cost of EV.
borderline spam? maybe, but i spent an hour writing it, so the hell with the rules. 
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#2
07-18-2007, 07:23 AM
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Re: post on -EV hedging
Good read.
It touches a field I have been thinking about lately - futures bet sizing. I am convinced that you should overbet Kelly and the main reason is an opportunity to take -EV hedge later, when your equity raises. If this sounds heretic to you, just imagine you bet Kelly and your 100-1 dog reaches the finals. Hedging seems obvious here. So if you are going to hedge anyway (betting less to avoid hedging makes no sense), you might as well bet more preseason. I am going to dig into the math as the hockey season approaches, so I would like to hear anyone's thoughts before I do.
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#3
07-18-2007, 11:34 AM
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Re: post on -EV hedging
Nice post.
Are you moving to this blog now? I must have missed the memo, I kept checking the old one (http://gambl0g.blogspot.com/) [img]/images/graemlins/smirk.gif[/img]
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#4
07-18-2007, 11:35 AM
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Re: post on -EV hedging
[ QUOTE ]
betting less to avoid hedging makes no sense [/ QUOTE ] Can you explain why? It seems like that makes perfect sense.
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#5
07-18-2007, 11:44 AM
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Re: post on -EV hedging
[ QUOTE ]
[ QUOTE ] betting less to avoid hedging makes no sense [/ QUOTE ] Can you explain why? It seems like that makes perfect sense. [/ QUOTE ] Because if you never had an opportunity to hedge (say you went to trip to Mars during the entire season), you would still correctly bet what Kelly told you to bet. The fact that hedging before the final game is correct does not imply that original wager was too large.
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#6
07-18-2007, 11:46 AM
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Re: post on -EV hedging
Thanks for posting, Crockpot. Good stuff...
-P
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#7
07-18-2007, 01:04 PM
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Re: post on -EV hedging
All,
You shouldn't use Kelly when betting futures as they aren't independent events. If you bet only WS winners, one winner precludes all others from winning ergo each bet provides a hedge against another, this allows larger than Kelly units in and of themselves before you even get into overbetting teams to hedge etc.
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#8
07-18-2007, 02:22 PM
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Re: post on -EV hedging
[ QUOTE ]
So if you are going to hedge anyway (betting less to avoid hedging makes no sense), you might as well bet more preseason. [/ QUOTE ] No.
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#9
07-18-2007, 02:31 PM
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Re: post on -EV hedging
[ QUOTE ]
All, You shouldn't use Kelly when betting futures as they aren't independent events. If you bet only WS winners, one winner precludes all others from winning ergo each bet provides a hedge against another, this allows larger than Kelly units in and of themselves before you even get into overbetting teams to hedge etc. [/ QUOTE ] The fundamental basis of the Kelly Criterion is maximizing log of expected bankroll, a concept which can applied to any wagering situation.
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#10
07-18-2007, 02:33 PM
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Re: post on -EV hedging
"The most common situation where a bettor wants to hedge is when he has hit every leg of his parlay with one game to go. Hedging here makes no sense: you should have simply left this game off your parlay and taken the lower payoff for one less game. People often don't realize until it's too late that their $5 parlay can leave them with over $1000 riding on the last game. Technically, it may be better for your bankroll to hedge this last game than let it ride, but you never should have been in this situation in the first place. If you can't handle this swing and will want to hedge the last game, either don't bet parlays or bet smaller ones."
Embarrassing.
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