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#11
04-28-2003, 08:16 PM
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Re: Correction - New Answer
73 is what I predicted above from my Kelly analysis. I'm surprised you got a 0.8% risk of ruin though. I have 4.8% for 73, and 1.7% for 69, and those should be accurate. I got a 0.8 risk of ruin for 67. Did you use a bankroll of 201?
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#12
04-29-2003, 02:22 AM
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Re: Correction - New Answer
Kinda sorta.
I used a BR of 300; it counts a 'bust' whenever the BR drops under 100 (i.e., a bet couldn't be made). So, if you had BR=100.10, you could still play, but BR=99.90 was a bust. I'll look over the code again tomorrow morning; it's very straight-forward though so I don't know what I coe missing. I ran the full-scale sims 4 times and saw the EV peak at 73 each time (with the correspondingly low risk of ruin), and then the 66-76 sim 2 times and saw it both times. Maybe it is a numerical artifac; I dunno. I could e-mail you the spreadsheet if you like. PP
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#13
04-29-2003, 10:17 AM
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Re: Correction - New Answer
On the other forum they the answer was got by using the following formula,
Expected return = Average number of flips * average profit per flip this is mathematicaly equivalent to the way you worked it out, except there they overlooked the fact that you couldn't use $300 as your full bankroll. The fact that these to are both equivalent implies that the effect you mention above </font><blockquote><font class="small">In reply to:</font><hr /> That is, the times we don't go broke, we will actually win more than 100*EV/flip [/ QUOTE ] Doesn't actually come into play here because it just doesn't apply to the method given above and they are both logically correct if you neglect the small amount left over when you go bust. Does anyone know of any way to work out the average amount left over when you go bust in this situation and also can anyone reccomend any good books that deal with this kind of mathematics as I'm a little rusty at the moment. cheers joe.
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