Kelly Betting: Spread vs. Moneyline

[hedgie43]

Let's say I have 2 bets that are on the same game and are correlated. One is ATS and one is SU. The ATS is -110 and has an edge of 2% and the other is +450 and has an edge of 8%. Betting full kelly on both does not seem optimal as the bets are correlated. My gut instinct is that you should bet both, at somewhere near between 1/2 and 3/4 kelly but I would prefer a more exact answer here. Is there some type of way to calculate this based on the degree of correlation?

[crockpot]

if you're willing to go to the trouble, you could make a spreadsheet outlining the three possibilities (win outright, cover but lose, fail to cover), with the respective probabilities and odds for each, then test some bet amounts to maximize the geometric mean of your expected bankroll.

[rjp]

Excel is supposed to have a solver to figure this out for you (I have no idea how to use it, however), as long as you construct the growth function properly.

[rush66]

I know how to use solver in excel. If you need help with how to use solver let me know, besides that I can't help.

[Thremp]

Despite taking optimal college class scheduling (easiest classes as possible) sadly it does me no good now since I can't do any of this stuff :/


Somewhere on my reading list I need to include a stats/prob text. Suggestions?

[Austiger]

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I can't do any of this stuff :/


Somewhere on my reading list I need to include a stats/prob text. Suggestions?

[/ QUOTE ]