John Larry Kelly Jr. | |
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| Born | December 26, 1923 Corsicana, Texas, U.S. |
| Died | March 18, 1965 (aged 41) Manhattan, New York, U.S. |
| Occupation | Scientist |
John Larry Kelly Jr. (December 26, 1923 – March 18, 1965), was an American scientist who worked at Bell Labs. From a "system he'd developed to analyze information transmitted over networks," from Claude Shannon's earlier work on information theory, he is best known for his 1956 work in creating the Kelly criterion formula. With notable volatility in its sequence of outcomes,[1] the Kelly criterion can be used to estimate what proportion of wealth to risk in a sequence of positive expected value bets to maximize the rate of return.[2][3] As a substantial warning, the outcome for the Kelly criterion's recommendation on bet-size "relies heavily on the accuracy" of the statistical probabilities given to a gamble's positive expectations.[4]
- ^ Samuelson (1979). "Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long" (PDF). Journal of Banking and Finance. 3 (4): 305–307. doi:10.1016/0378-4266(79)90023-2.
- ^ "The Man Who Solved the Market", Gregory Zuckerman, 2019
- ^ Kelly, J. L. (1956). "A New Interpretation of Information Rate". Bell System Technical Journal. 35 (4): 917–926. doi:10.1002/j.1538-7305.1956.tb03809.x.
- ^ "Apply the Kelly Criterion to Investing and Your Portfolio Sizing". 18 June 2014.