This article is quite entertaining and gives a good high level description of the idea. You might enjoy it as well: http://home.williampoundstone.net/Kelly/Kelly.html
On Thu, Sep 16, 2010 at 1:10 PM, Devon McCormick <[email protected]> wrote: > As I recall the take-home number from the Thorp was that one should take on > about 30% leverage, but that is a long-ago recollection, without any of the > caveats which may have accompanied the original. > > On Thu, Sep 16, 2010 at 10:51 AM, Steven Taylor <[email protected]> wrote: > >> Raul: "The trick, of course, lies in determining the probability of >> success." >> >> Once upon a time, I saw Kelly give a trader too much confidence ;-) >> >> -Steven >> ---------------------------------------------------------------------- >> For information about J forums see http://www.jsoftware.com/forums.htm >> > > > > -- > Devon McCormick, CFA > ^me^ at acm. > org is my > preferred e-mail > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
