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Re:Kelly Criterion For Sport Betting by btilly on Monday May 02, 2011 @02:38AM (#2505439)
Worse yet, if you consistently overestimate your edge, you'll bet too much and could eventually go broke. Furthermore the optimal long-term strategy can be negative for far longer than most would believe.

For instance with your President example where the true odds are 60% and you're being offered even odds, after 100 such bets, following Kelly, you've got over a 15% chance of being behind.

Re:Kelly Criterion For Sport Betting by gwern on Monday May 02, 2011 @09:46AM (#2506236)
> Worse yet, if you consistently overestimate your edge, you'll bet too much and could eventually go broke.

Yes; I thought I had an edge because I had read a bunch of cognitive bias materials and I had calibrated myself with the usual quizzes and through things like registering hundreds of predictions on PredictionBook.com (http://predictionbook.com/users/gwern) and that sort of thing, but in all honesty, the overall number of independent discrete bets I made on the IEM and Intrade was low enough that I probably just got lucky.