The Kelly Criterion

The idea of a kelly system is that your bet size should be proportionate, to some degree, to the amount of information that you have. The most famousa user of this is ed thorpe who wrote the book beat the dealer about card counting in the 19 sixties. A pure kelly formula leads to like, pretty wicked drawdowns,. Sol: You don't want to be on that roller coast a right? So you can do things like partial kellys. But that, to me, is something i'd like to do more work on is to create an algorithm for portfolio managers.