Publisher Summary This chapter focuses on Kelly's capital growth criterion for long-term
portfolio growth. The Kelly (–Breiman–Bernoulli–Latané or capital growth) criterion is to …

This volume provides the definitive treatment of fortune's formula or the Kelly capital growth
criterion as it is often called. The strategy is to maximize long run wealth of the investor by …

… Thorp applied the Kelly … Thorp, Optimal gambling systems for favorable games.
Review of the International Statistical Institute, Vol. 37:3, 1969. … Thorp, Portfolio choice …

… by an X(t), drift 0 and 394 EO Thorp variance S2 (0 ~ t ~< S2, S2 … Note 396 EO Thorp that the
optimal strategy will in general … strategy with other 398 EO Thorp fixed fractions to determine …

The main advantage of the Kelly criterion, which maximizes the expected value of the
logarithm of wealth period by period, is that it maximizes the limiting exponential growth rate of …

Backgammon continually puzzles the players with new situa-tions to judge. This often leads
to debate, even among experts. It is generally not realized that many backgammon problems…

The Book That Made Las Vegas Change the Rules Over 1,000,000 Copies in Print Edward
O. Thorp is the father of card counting, and in this classic guide he shares the revolutionary …

The first wearable computer was conceived in 1955 by the author to predict roulette, culminating
in a joint effort at MIT with Claude Shannon in 1960-61. The final operating version was …

… Since they're not covered in Poundstone (2005), you may wish to refer to my article, Thorp
(2006), and other papers in this volume. Also some services such as Morningstar and Motley …

In 1738 Daniel Bernoulli postulated that the marginal utility of an extra amount of money
was proportional to the person’s wealth. So u (w)= where u is the investor’s utility function, …