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A Simple Kelly Problem I Can\'t Solve
Here is a Kelly situation I encounter often. I am not sure of the answer and I won't cloud anything up with my logic yet.
In simple terms, I am faced with a max bet that is equal to or below my Kelly value where I can arb the bet with a book that is overfunded (ie, if I don't arb it the money will go unused in the second book). Intuitively, the problem seems incredibly easy - you are below Kelly and any arbing has negative expectation. Don't arb. But, by some twisted logic and math I can make a strong case for arbing a portion of the bet. Do I arb here? Is there ever a case where you arb when the soft side is below Kelly value? Book A: overfunded Book B: Overfunded Arb: Book A: +104 Book B: +100 (book B is soft) Non-vig line approx -108 Softline value = 4.2% Chance of win = 48% Value of arb = 1% My basic Kelly calculator says bet $1000 Max Limit For Bet for Book B = $1000 I bet the $1000 max at Book B. Do I arb any portion of the bet with Book A? note: I am very ill and not thinking 100% clearly. So, this may be a very easy problem. But, I don't think so. |
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