The Kelly Criterion, Part II, Additional reading

Below are some references to consider regarding the Kelly Criterion / Kelly Formula.  Be sure to also read the series on the book Fortune's Formula and also Part I of this post.

A detailed review of the book.

The original paper by John Kelly.

A much simpler derivation of the Kelly Criterion.

How to use the Kelly Criterion to manage money based on your stock trade history.  More thoughts on Kelly and trading here and here.

A 1997 paper by Ed Thorp, a smart man who basically got rich using the Kelly Criterion.  An earlier 1984 paper is here.

A Kelly Criterion online calculator.

Some criticism of the Kelly Criterion, Samuelson style.

An article on how to apply the Kelly Criterion for more complicated situations (bets with multiple outcomes).

A bunch of links for advanced topics regarding the Kelly Criterion related to Blackjack (but applicable to other arenas as well).

Use of Kelly Criterion to judge betting market efficiency.

Update: Morningstar discusses optimizing a portfolio with the Kelly Formula.

Update II: The Adaptive Market Hypothesis and the Kelly Formula.

Comments

[rod.]

Once again, congrats for an awesome blog! Glad to find such a comprehensive collection of links related to Kelly's criterion.

I will be curious to read how the CASTrader will perform in the near future!

[Alan J]

Thanks again, Rod, and Perfectly Reasonable Deviations is excellent too. I'm looking at January, 2007 before the next version of CASTrader is ready, so it will be a busy winter of coding.

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