Risk of ruin question
brucez's br formulas:
B = -(sigma^2/2u)ln(r)
r = exp(-2uB/sigma^2)
where B is bankroll, sigma is SD, u is hourly earn, and r is risk of ruin
Do sigma, B, and u need to be in big bets or money? Or does it matter?
Say I'm playing 2/4 making 2 bb an hour with 10 bb SD.
The equation B = -(sigma^2/2u)ln (r) or
B = -(10^2/2*2)ln(.05) = 74.89
but
B = -(40^2/2*8)ln(.05) = 299.57
So when sigma and u are in an amount of money, it gives you your BR in big bets?
But using one of brucez examples in which you make $30 an hour with a SD of 650, i get this
B = -(650^2/2*30)ln(.05) = 21094.94
And in that case it gives me a dollar amount instead of a BB amount for B.
I'm confused.
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