Help with Kelly Criterion

[LFCBADBOY]

Could anyone help me with this dilemma I have.

So say I want to put up some money in the markets the day before the events.

I want to abide by the Kelly criterion, and have some doubts about how to stake.

The situation may be this:

2 Tennis Matches at 3pm.

6 Tennis Matches at 7pm.

3 Tennis Matches at 10pm.


I have heard of a kelly rule for simultaneous events, but this is sequential.

Is there a staking method to deal with this, or would I just have to apply an equal staking rule for all events?

Cheers in advance

[ron]

Not sure but a quick look around and i found these

http://www.jimgeary.com/poker/letters/KELLY.HTM

http://www.albionresearch.com/kelly/

[PesceLesso]

It all depends on how you apply the kelly.

the trickiest part of the equation is that when you assess probability, as yr estimated likelihood could (actually does ) embed an error, big or small.

In fact, as the late (lamented) John L. Kelly wrote in his original paper, the gambler should have a "private wire", that is a 100% reliable information of the likelihood of an outcome to compute the fraction of his bankroll he's supposed to wager, for to ensure the best possible performance in terms of capital growth.

Now, whereas it'd be nice to know with certainty the probability of a given outcome, it is (almost) impossible to realize it in practice.

Gamblers and traders have tried, as a workaround, to introduce a second factor which, to me, makes a lot of sense: performance. That is to say either:

1. How frequently are you right when assessing probability, or better, what's your standard error when you compute likelihood of a certain event outcome? performance on predictions: difficult again to asses.
   
   or
   
2. What's your strike rate? that is the frequency of yr winners: easy to know.

This also means though that the Kelly% will always be linked to the odds available and yr current performance. therefore the final outcome of each single bet will change the value of the latter.

Back to yr case: I'd split the b'roll between the number of simultaneous events, dividing it in equal parts, calculate the kelly wager on each single proposition, wait for the result, update my current performance figure and then repeat the process.
Which means I could actually bet 1 day in advance on the 2 Tennis Matches at 3pm. , but I'll have to wait the result of those 2 to update my current performance and then set my next stakes for the 6 Tennis Matches at 7pm, and so on.