Risk of Ruin
September 29th, 2010 at 6:00:21 PM
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Hi, everyone,
A little while back, I asked a question about risk of ruin, and was steered to bjmath.com to get started.
Based on an article I found there - Article - I built a spreadsheet app that will calculate your risk of failure for given probabilities of winning and losing, and bankroll size. There are multiple sheets to allow you to express your desired winnings and losings as a number of units or a percentage of total bankroll.
I'd be happy to share the spreadsheet with anyone that's interested. Not sure I can post the .xls file here (but I can do so if someone tells me the appropriate method), so PM me if interested, and I'll email it to you, or we can come up with some other way of transferring the file.
I think I did everything correctly, but there may be an error in there somewhere... I notice that the risk of ruin approaches about 30% for the chance to win 4 units before losing your entire bankroll, for instance (even for very large bankrolls), which seems counter-intuitive, but may be due to approximations used in the derivation of the original formula, of which I am unaware. I found the tool useful as an aid in determining appropriate win limits for myself vs buyin amount. If anyone has any insight to share, I'd love to hear it.
Thanks!
A little while back, I asked a question about risk of ruin, and was steered to bjmath.com to get started.
Based on an article I found there - Article - I built a spreadsheet app that will calculate your risk of failure for given probabilities of winning and losing, and bankroll size. There are multiple sheets to allow you to express your desired winnings and losings as a number of units or a percentage of total bankroll.
I'd be happy to share the spreadsheet with anyone that's interested. Not sure I can post the .xls file here (but I can do so if someone tells me the appropriate method), so PM me if interested, and I'll email it to you, or we can come up with some other way of transferring the file.
I think I did everything correctly, but there may be an error in there somewhere... I notice that the risk of ruin approaches about 30% for the chance to win 4 units before losing your entire bankroll, for instance (even for very large bankrolls), which seems counter-intuitive, but may be due to approximations used in the derivation of the original formula, of which I am unaware. I found the tool useful as an aid in determining appropriate win limits for myself vs buyin amount. If anyone has any insight to share, I'd love to hear it.
Thanks!
