View Full Version : Risk of Ruin Question

01-28-2003, 10:25 PM
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.


01-29-2003, 08:20 AM
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%

01-29-2003, 11:08 AM
Thanks Bruce!