Risk of Ruin Question
Told a friend I'd put this up as I know most of you can do this calc way faster than me. Thanks in advance for the help:
Say you have an 8SD and have a 100BB bankroll. What is your risk of ruin if you are a .5BB/hr winner, a .75 BB/hr winner and a 1BB/hr winner. Thanks |
Re: Risk of Ruin Question
ror = exp(-2uB/sigma^2)
or you can use ror = [(1-u/sigma)/(1+u/sigma)]^(B/sigma) These give essentially the same result. u = hourly rate, B = bankroll. .5 bb/hr: ror = 21% .75 bb/hr: ror = 9.6% 1 bb/hr: ror = 4.3% |
Re: Risk of Ruin Question
Thanks Bruce!
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