The Kelly criterion is a formula for sizing a sequence of financial or gambling bets by maximizing the long-term expected value of the logarithm of wealth, equivalent to maximizing the long-term expected geometric growth rate. It was described in 1956 by John Larry Kelly Jr., a researcher at Bell Labs, and is used to guide risk allocation across a sequence of repeated wagers or investments. This description is adapted from Wikipedia contributors under CC BY-SA 4.0; changes were made. https://creativecommons.org/licenses/by-sa/4.0/
Facts
Origin YearJohn Larry Kelly Jr. described the criterion in 1956 Connections
Sources
1. Kelly Criterion (Wikipedia)
Lead sectionQuote, Lead section
In finance, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for risk allocation with the sizing a sequence of bets by maximizing the long-term expected value of the logarithm of wealth, which is equivalent to maximizing the long-term expected geometric growth rate.
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