Kelly Criterion - Citations

No staking system is perfect. Some (Martingale et al.) are not even close. However, Kelly Criterion is proven to be the best way to grow your wealth. John L. Kelly was a colleague of the inventor of information theory, Claude Shannon. Kelly used information theory to show the optimal way to grow a bankroll.

The Kelly Criterion formula tells the trader the optimal bankroll percentage to risk. Percentage stakes is superior to level stakes but choose to high or too low a percentage and you will not profit as much from a winning system as you can with Kelly.

Here is a by no means complete list of Kelly Criterion citations, starting with Kelly's seminal work.

Kelly, John. "A new interpretation of information rate." IRE Transactions on Information Theory 2.3 (1956): 185-189.

Breiman, L. "Optimal gambling systems for favorable games." The Kelly Capital Growth Investment Criterion: Theory and Practice (2011): 47-60.

Chapman, S. J. "The Kelly criterion for spread bets." IMA journal of applied mathematics 72.1 (2007): 43-51.

Noon, Edmund. "Extending Kelly Staking Strategies to Peer-to-Peer Betting Exchanges." (2014).

Noon, Edmund, William J. Knottenbelt, and Daniel Kuhn. "Kelly's fractional staking updated for betting exchanges." IMA Journal of Management Mathematics 24.3 (2013): 283-299.

Noon, Edmund, and W. Knottenbelt. "Market making with an inverse Kelly strategy." 4th International Conference on Mathematics in Sport. 2013.

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