The Kelly criterion is essentially just optimizing the expected value of the log of your net worth. It was known in some form to Daniel Bernoulli in the late 17

The Kelly criterion is essentially just optimizing the expected value of the log of your net worth. It was known in some form to Daniel Bernoulli in the late 1700s: http://en.wikipedia.org/wiki/St._Petersburg_paradox#Expected_utility_theory http://en.wikipedia.org/wiki/St._Petersburg_paradox#Expected.... Anyway knowing this will allow you to calculate it for more complex scenarios and even multiple simultaneous bets [1] simply enough with an optimization algorithm . The problem with Kelly [2] and even fractional Kelly (unless the fraction is very small, then your problem is extremely slow growth) is that it is a long term strategy and it is very sensitive to your estimates. It can be dominated by other strategies in the short term or for those who seek different risk properties (prefer lots of small wins and want less volatility). [1] page 19 of http://www.pitt.edu/~sorc/trade/files/RiskManagement/kelly.pdf http://www.pitt.edu/~sorc/trade/files/RiskManagement/kelly.p... [2] http://www.edwardothorp.com/sitebuildercontent/sitebuilderfiles/Good_Bad_Paper.pdf http://www.edwardothorp.com/sitebuildercontent/sitebuilderfi...