Sports Handicapping, Betting & Picks - SBR Forum - View Single Post - Statistical Arbitrage Challenge, Prize Offered (Hard)

Ganchrow · 12-24-2007, 10:45 AM

Just in time for the holidays and taking the cue from Justin's original Arbitrage Challenge, I present my own statistical arbitrage challenge. The first correct answer receives a choice of several books from Amazon.com¹. A special cash bonus will be awarded if the answer is given prior to midnight of Christmas Day (Eastern time)².

The following bets are available:

Will the New England Patriots lose in the 2007/8 divisional round of the playoffs?
Yes +516
No -600
Will the New England Patriots lose in the 2007/8 AFC Championship? (NE must play for bet to have action.)
Yes +183
No -200
Will the New England Patriots lose in the 2007/8 Super Bowl? (NE must play for bet to have action.)
Yes +437
No -500
Will the New England Patriots win the 2007/8 Super Bowl?
Yes +118
No -128

Your unbiased estimates of the associated 2007/8 probabilities are:

NE wins divisional round: 90%
NE wins AFC Championship: 63%
NE wins Super Bowl: 55%

If Bet#4 (NE to win Super Bowl) can't be included in a compound wager what would be your optimal bet combination?

Assume you're a half-Kelly bettor with a $100K bankroll and that all bets must be placed immediately. You may ignore cost-of-capital.

¹Players ineligible for prizes include SBR employees, members with fewer than 15 posts at the time of this posting, previous Ganchrow puzzle prize recipients, and RickySteve.
²Cash bonus only awarded to eligible prize recipients and depending upon logistics may be awarded in a cash-equivalent form.

12-24-2007, 10:45 AM	#1 (permalink)
Ganchrow Moderator Join Date: 08-28-05 Location: Forest Hills, NY, Home of the Blitzkrieg Bop Posts: 4,804	Statistical Arbitrage Challenge, Prize Offered (Hard) Just in time for the holidays and taking the cue from Justin's original Arbitrage Challenge, I present my own statistical arbitrage challenge. The first correct answer receives a choice of several books from Amazon.com¹. A special cash bonus will be awarded if the answer is given prior to midnight of Christmas Day (Eastern time)². The following bets are available: Will the New England Patriots lose in the 2007/8 divisional round of the playoffs? Yes +516 No -600 Will the New England Patriots lose in the 2007/8 AFC Championship? (NE must play for bet to have action.) Yes +183 No -200 Will the New England Patriots lose in the 2007/8 Super Bowl? (NE must play for bet to have action.) Yes +437 No -500 Will the New England Patriots win the 2007/8 Super Bowl? Yes +118 No -128 Your unbiased estimates of the associated 2007/8 probabilities are: NE wins divisional round: 90% NE wins AFC Championship: 63% NE wins Super Bowl: 55% If Bet#4 (NE to win Super Bowl) can't be included in a compound wager what would be your optimal bet combination? Assume you're a half-Kelly bettor with a $100K bankroll and that all bets must be placed immediately. You may ignore cost-of-capital. ¹Players ineligible for prizes include SBR employees, members with fewer than 15 posts at the time of this posting, previous Ganchrow puzzle prize recipients, and RickySteve. ²Cash bonus only awarded to eligible prize recipients and depending upon logistics may be awarded in a cash-equivalent form.
Ganchrow's SBR