MediumMarket Making & Games
Kelly with 2-to-1 Odds
SIG / SusquehannaDRW
A repeatable bet wins with probability 40%. A win pays 2-to-1 (win 1 staked); a loss costs the stake. What fraction of your bankroll should you stake per bet to maximise long-run growth (the Kelly fraction), in percent?
Approach
f* = (bp − q)/b, where b is the net odds received on a win.
Answer
Show the final answer
The answer is 10. Sign in free for the full worked solution and to check your own answer.
Related problems
Make a Market on Two DiceEasyRoll, Keep or Re-rollMediumTwo Bookmakers, One ArbitrageMediumThe Bookmaker’s EdgeMediumQuoting Against Informed FlowHardThe House Edge in European RouletteEasy
More in Market Making & Games.