Position Sizing and the Kelly Criterion
How much to bet, given an edge. The mathematics is settled; the practical question is what fraction of Kelly a human can hold.
8 books · 4 people behind it
Start here
- Fortune's FormulaWilliam Poundstone, 2005
- A Man for All MarketsEdward O. Thorp, 2017
The people behind it 4
Each person holds a book in this entry or names it in their own tags.
Investors 2
Academics 1
Journalists 1
Books 8
Edward O. Thorp · 2017 · Thorp applied Kelly to blackjack, then to convertible arbitrage.
Edward O. Thorp · 1962 · Where bet sizing under an edge was first made rigorous for a general reader.
Edward O. Thorp, Sheen T. Kassouf · 1967 · Thorp moving from blackjack to warrants, carrying the sizing rule across.
William Poundstone · 2005 · The history of the Kelly criterion and the fight over it at Bell Labs.
Van K. Tharp · 1998 · Position sizing as the variable that actually determines the return distribution.
Leonard C. MacLean, Edward O. Thorp, William T. Ziemba · 2011 · The collected academic papers, including the arguments against full Kelly.
T3 Safe Haven
Mark Spitznagel · 2021 · Geometric against arithmetic returns, and what a drawdown really costs.
Ralph Vince · 1992 · Optimal-f and the practical arithmetic of fractional betting.