Quote:
Originally Posted by rjp
Just going over this again, and it'd be really sweet if you could take into account a bet already made, such that say I find a single +EV bet that I wager on at the optimal wager size, and then later I find say three +EV bets I wish to bet on, while the first single +EV bet is still pending. Obviously you can't re-bet the single one at a lower amount, but it'd be nice to take that into account too.  |
When you get into these more complicated boundary problems, you need to start using a nonlinear optimizer to approximate glabal solutions.
I think if you search around you can find a post where I outlined this procedure as it relates to hedging and line movements. And some point I'll write an article explaining it in the more general case.