References
- D. Bernoulli, Exposition of a new theory on the measurement of risk, Econometrica 22(1) (1954), pp. 23–36. English translation of Bernoulli (1738) by Louise Sommer. doi: 10.2307/1909829
- L. Breiman, Optimal gambling systems for favorable games, Fourth Berkeley Symposium on Probability and Statistics 11 (1961), pp. 65–78.
- T.M. Cover, Universal portfolios, Math. Financ. 11 (1991), pp. 1–29. doi: 10.1111/j.1467-9965.1991.tb00002.x
- C.M. Faith, Way of the Turtle, McGraw-Hill, New York, 2007.
- M. Finkelstein and R. Whitley, Optimal strategies for repeated games, Adv. Appl. Probab. 13 (1981), pp. 415–428. doi: 10.2307/1426692
- J.L. Kelly, A new interpretation of information rate, Bell Syst. Tech. J. 35 (1956), pp. 917–926. doi: 10.1002/j.1538-7305.1956.tb03809.x
- H.A. Latane, Criteria for choice among risky ventures, J. Political Econ. 67 (1959), pp. 144–155. doi: 10.1086/258157
- L.C. MacLean, E.O. Thorp, and Y. Zhao, Medium term simulations of the full kelly and fractional kelly investment strategies, Kelly Capital Growth Investment Criterion: Theory Pract. 11 (2010), pp. 543–562.
- L.C. MacLean, W.T. Ziemba, and Y. Li, Time to wealth goals in capital accumulation, Quant. Financ. 5(4) (2005), pp. 343–355. doi: 10.1080/14697680500149552
- M. Medo and Y.C. Zhang, Diversification and limited information in the kelly game, Phys A: Statist. Mech. Appl. 387 (2008), pp. 6151–6158. doi: 10.1016/j.physa.2008.07.007
- M. Medo and Y.C. Zhang, How to quantify the influence of correlations on investment diversification, Int. Rev. Financ. Anal. 18 (2009), pp. 34–39. doi: 10.1016/j.irfa.2009.01.001
- E.O. Thorp, Optimal gambling systems for favorable games, Rev. Int. Statist. Inst. 37 (1969), pp. 273–293. doi: 10.2307/1402118
- E.O. Thorp, The kelly criterion in blackjack sports betting and the stock market, Handbook of Asset and Liability Management 11 (2006), pp. 387–428.
- B. Ziemba, Good and bad properties of the kelly criterion, Wilmott Magazine 4 (2003), pp. 6–9. doi: 10.1002/wilm.42820030205
- W.T. Ziemba and D.B. Hausch, The Dr. Z. Betting system in England, Efficiency Racetrack Betting Mark. 11 (2008), pp. 567–574. doi: 10.1142/9789812819192_0056