In 1956, a physicist named John Kelly working at Bell Labs
published a paper titled "A New Interpretation of Information
Rate." In the paper he draws an analogy between the outcomes of a
gambling game and the transmission of symbols over a communications
channel. For a positive expectation game, Kelly showed that a
betting system based on a fixed fraction of the bankroll can make
the bankroll grow at an exponential rate in the long run. The
exponential growth rate in this case is directly analogous to the
rate of information transmission through a communications channel.
This book examines the Kelly system in detail. Applications of the
Kelly system in both gambling and investing are considered. Python
code for calculating the Kelly fractions for both a single stock
investment and an investment in two stocks simultaneously is
included. Included is an introductory review chapter on the
probability theory needed to analyze gambling systems in
general.There is also a chapter on some of the more commonly used
gambling systems such as the Martingale system. This book will be
useful for anyone interested in a good mathematical introduction to
gambling systems in general, and the Kelly system in particular.
General
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