= 27d567bc2d48d9f40e9ccc20ea370b15)
EvelynM comments on How much to spend on a high-variance option? - Less Wrong
You are viewing a comment permalink. View the original post to see all comments and the full post content.
= 783df68a0f980790206b9ea87794c5b6)
Loading…= b715d02e85f7b3b4ae65ca3d3e450868)
Subscribe to RSS Feed
Powered by Reddit
= f037147d6e6c911a85753b9abdedda8d)
You are viewing a comment permalink. View the original post to see all comments and the full post content.
Comments (36)
"It was terrifying" is evocative, but not informative.
Can you explain, preferably by including your evidence?
I mean pretty much exactly that: I plugged in the payoff numbers into the equation, thought hard about my past record of trades & predictions and how calibrated I was in each certainty range to determine my edge, looked at the result of the Kelly Criterion, and felt terror at the idea of committing that much of my Intrade bankroll to one trade. I discuss the KC in http://www.gwern.net/Prediction%20markets#how-much-to-bet
Beyond your fear, was Kelly Bet sizing too aggressive? That is, were you so poorly calibrated that full Kelly would have led to wiping out your bankroll, with the sequence of bets you made?
No, I did fine and ultimately came out of Intrade with a decent profit. But my trades were few enough that I don't know whether it could show me well calibrated or whether I got lucky.