Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
William Poundstoneamazon.com
Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
The Kelly-Thorp method requires no joint distribution or utility function. In practice, one needs the ratio of expected profit to worst-case return—dynamically adjusted (that is, one gamble at a time) to avoid ruin. That’s all.