Beta Priors & Robust Kelly Sizing 2026 — Don't Trust Your Hunch
🎰 CryptoBonusHub 𝕏 Follow @ProbBrain Photo via Picsum Most people who use the Kelly Criterion plug their probability estimate straight into the formula and bet whatever it spits out. That works perfectly — assuming your probability estimate is exactly correct. In real life, it isn't. Robust Kelly sizing takes your hunch, treats it as the center of a distribution rather than ground truth, and sizes off a conservative bound. This post explains how, using Beta priors and credible intervals. Why your point estimate isn't enough Suppose you say "I think this Polymarket market is 60% YES." The textbook Kelly formula treats that 60% as truth. But how confident are you? Could the true number be 55%? Could it be 65%? If you have no answer, you have no business sizing off 60%. The Kelly formula is steeply convex around the edge. A 5-percentage-point overestimate of your win probability translates into a roughly 40% overbet at t...