The Kelly criterion, named after the mathematician John L. Kelly Jr., is a formula
used to determine the optimal allocation of capital in order to maximize long-term growth in a
sequence of investments or bets. It provides a guideline for determining the size of each bet or
investment based on the expected return and risk. The Kelly criterion is widely used in various
fields, including gambling, trading, and investment management. It is expressed as a
mathematical formula:
f* = (bp - q) / b