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Old 03-30-2007, 10:55 AM   #4 (permalink)
Ganchrow
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Yes. A Kelly bettor, not constrained by betting limits, would indeed prefer a sure payout of 1.803% to a 50% probability of winning an event paying out at +2.3000. (To be indifferent between the two, the Kelly bettor would require odds of about 2.4611.)

However, a Kelly bettor could do even better by risking half his bankroll on A, and half his bankroll on B. In this manner his bankroll would increase by 15% half the time, and would decrease by 8.68% half the time, implying expected profit of ~3.16% and expected bankroll growth of ~2.48% over time.

I'd also add that in general scalpable bets tend to have rather low limits, which will be a problem for bettors with appreciable stakes. As such, out of necessity as their bankrolls increase, most advantage bettors will have to eventually shift their focus away from pure arbs.
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