Thread: Kelly Criterion
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Old 11-06-2018, 01:21 PM   #6
mick
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Join Date: May 2016
Posts: 711
Quote:
Originally Posted by Dorianmode View Post
There is a long discussion of the Kelly in #2 of the (early Sartin) "Follow Ups" *magazine*, (available in the library). Doc brought in Huey Mahl (I think) to discuss wagering, and he presented the Kelly Criterion. You may find it interesting. A number of financial/investment outfits use it. It's interesting also because originally Bell Labs developed it and used it to calculate the most efficient way/rate to transmit electricity in power lines ... (as I recall).

If you find the discussion in Follow Up #2 useful, PM me ... I have worked out all those formulas in a spreadsheet, which can be adjusted to your personal wishes/numbers. I've shared it before here, and am happy to again. You're right. Most people who use it, use a fractional Kelly. If your win rate is medium to high, the Kelly will spit out a huge fraction of the bank to bet, and it's just not a comfortable or prudent thing to do.
Thank you for directing me to Follow Up #2. Yes, it was Huey Mahl and I found it very interesting.
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