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 bigeasy 09-17-2003 01:59 PM

help with this formula

can someone show me how to solve this.
Bankroll = [-sigma^2/(2*EV)]*
my sigma is 12
my ev is 1
this is from brucez and i seem to get a negative number.
thanks b

 BruceZ 09-17-2003 02:35 PM

Re: help with this formula

can someone show me how to solve this.
Bankroll = [-sigma^2/(2*EV)]*
my sigma is 12
my ev is 1

It's bankroll = [ -sigma^2/(2*EV) ]*ln(r)

It looks like you left out ln(r)? r the risk of going broke that you want. ln(r) is the natural logarithm from your calculator or Excel. If you don't have ln but you have log base 10, you can do log(r)/log(2.718) instead. So if you want a 1% risk of ruin, then

bankroll = [ -12^2/(2*1) ]*ln(.01) = (-144/2)*ln(.01) = -72*(-4.605) = 332 units.

Maybe you squared -12 instead of taking -(12^2)?

 bigeasy 09-17-2003 03:04 PM

Re: thank you i see what i did ---nt.

ty

 thylacine 09-17-2003 03:49 PM

Re: help with this formula

ln(r)&lt;0 when r&lt;1

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