Kelly Criterion deduced from ROI & Prize Structure.

[typohh]

Hi, I wrote a small piece of software to calculate kelly criterion for multiple different outcomes, and applied it to tournament prizestructure and ROI to get some hopefully usefull results.

1616 player tournament, top 261 itm.

return on investment : 100.0%
kelly criterion : 2.85%

return on investment : 50.0%
kelly criterion : 0.89%

return on investment : 25.0%
kelly criterion : 0.32%


315 player tournament, top 36 itm.

return on investment : 100.0%
kelly criterion : 3.45%

return on investment : 50.0%
kelly criterion : 1.39%

return on investment : 25.0%
kelly criterion : 0.73%


90 player SnG, top 18 itm.

return on investment : 100.0%
kelly criterion : 14.51%

return on investment : 50.0%
kelly criterion : 6.27%

return on investment : 25.0%
kelly criterion : 2.85%


9 player SnG, top 3 itm.

return on investment : 15.0%
kelly criterion : 6.49%

return on investment : 10.0%
kelly criterion : 4.16%

return on investment : 5.0%
kelly criterion : 2.3%


2 player SnG, top 1 itm.

return on investment : 15.0%
kelly criterion : 15.79%

return on investment : 10.0%
kelly criterion : 10.33%

return on investment : 5.0%
kelly criterion : 5.22%


The ROI is calculated after the rake obviously, with rake being 10% for all but HUP where it is 5%. If your prize distribution is skewed your kelly criterion may differ, as an example if you often lose HUP in a SnG or a tournament but still somehow manage to have a positive ROI. Here is an example of assumed position distribution in 9 player SnG with ROI 15%.

1st 14.2%
2nd 13.7%
3rd 13.1%

I can calculate it for other prizestructures & ROIs, post them here (include the entire prize structure, not just ITM) and I'll run it trough the program, also include the rake and ROI(s) you want.