4 ms·
The Kelly criterion that is widely used in finance was invented at the Bell Labs. It was based on the Shannon’s theory.
by LudwigNagasena 4y ago
The Kelly criterion that is widely used in finance was invented at the Bell Labs. It was based on the Shannon’s theory.
- mhh__ 4y ago> widely used A nice idea but not really.
- User23 4y agoI use it every time I’m in Vegas.
- sn41 4y agoKelly criterion was originally invented by Daniel Bernoulli (using logarithmic utility) as a resolution to the St. Petersburg Paradox, IIRC: https://en.wikipedia.org/wiki/St._Petersburg_paradox https://en.wikipedia.org/wiki/St._Petersburg_paradox
- kqr 4y agoNot specifically a solution to the St. Petersburg Paradox because, well, it's not a solution to the most general formulation of it (and Bernoulli admits as much in his paper, IIRC). At least the way I read Bernoulli's paper, it was more of a general musing on how to reduce risk and make insurance decisions.