Link to article: http://www.bj21.com/bj_reference/pages/riskofruin.shtml
MB wrote:
"While it may be very liberal, say he is playing via half the Kelly criterion without resizing. Then the probability of doubling a bank before going bust (RoR) is about 1.8%."
If a player is using 0.5 kelly, then wouldn't the probability of doubling the bank before going broke be 98.2%?
MB wrote:
"1) CRoR=1-(1-RoR)^n.
Here, CRoR stands for cumulative risk of ruin. Unfortunately, this means that that the probability of not surviving 5 years in the above scenario is (1-13%)^10=17%. The probability of not surviving 10 years is (1-13%)^20=31.1%".
First, where does MB come up with 13% for ROR? Second, (1-13%)^10=25% , not 17% as MB wrote. Same goes for (1-13%)^20, it equals 6%, not 31%. Somebody please clarify, this is an interesting article.
MJ
