## a **closely connected** thread on [TECHNOLOGY tree about Short-run versus long-run](https://knowen.org/nodes/24890)

- [personal web page of Ed Thorp](http://www.edwardothorp.com/), see also articles there


## [a good review - chapter 8](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/3187/Kelly-Euan.pdf) by Sinclair

In the long-run Kelly-Thorp criterion makes perfect sense (under simple assumptions of no tail risks, etc.), while in the short-run risk-constrained, target based, Browne strategy is more appropriate.

- articles by Thorp

[How does the Fortune’s Formula-Kelly capital growth model perform?](http://hariseshadri.com/docs/kelly-betting/kelly1.pdf)

[Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies](http://www.edwardothorp.com/wp-content/uploads/2016/11/KellySimulationsNew.pdf)

[Good and bad properties of the Kelly criterion](https://www.stat.berkeley.edu/~aldous/157/Papers/Good_Bad_Kelly.pdf) by MacLean, Ziemba and Thorp


- articles about Browne strategy

[Risk-Constrained Dynamic Active Portfolio Management](https://pdfs.semanticscholar.org/44f7/bb730f8f861194a4cb5a04c388293eb6d918.pdf)

[Risk-Constrained Kelly Gambling](https://web.stanford.edu/~boyd/papers/pdf/kelly.pdf)


## fresh look at Kelly-Thorp criterion

and new look at the debate between time-average, Kelly-Thorp, versus ensemble average, utility functions (Samuelson)

[Evaluating gambles using dynamics](https://arxiv.org/abs/1405.0585)
Ole Peters, Murray Gell-Mann


## [Haghani- Dewey experiment](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2159/Haghani-Dewey%2Bexperiment.pdf) - the realioty and biases!?

- Aaron Brown [Green eggs and Kelly](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2166/Green%2Beggs%2Band%2BKelly%2B-%2BAaron%2BBrown.pdf) as well as [Optimal betting under uncertainty](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2164/Optimal%2Bbetting%2Bstrategy%2Bwith%2Buncertain%2Blimits%2B-%2BAaron%2BBrown.pdf)

- [Volatility Trading - Sinclair](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2167/Volatility%2BTrading%2B-%2BEuan%2BSinclair.pdf)

p 128 is a good summary of Sid Browne strategy.
Analogy with *a binary call with a strike of B, which is targeted profit* some away from the current wealth. Browne strategy is initially more aggressive than Kelly, but later on less aggressive. Kelly is 0.69 = (22% - 8%)/(0.45% ^2), while Browne starts with 1.8. The target is to make 50% for 100 days/flips. Interesting how to adopt it when the edge/drift is not well known???

not right but think —- Notice that W is very close to the target it seems that close to 50% will be put on the line?



- [Ragullin](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2165/Ragulin-%2BGot%2Bto%2Bbe%2Bin%2Bit%2Bto%2Bwin%2Bit.pdf) .... see [more papers](https://knowen-production.s3.amazonaws.com/uploads/attachment/file/2161/Nielsen%2B-%2BGLG%2BPartners%2B-%2BKelly%2Boptimal%2Bstrategy%2Bwith%2Bstop-loss%2Brule.pdf) in attachment