Samuelson, however, hedged his personal bets - by putting some of his own money in Berkshire Hathaway.

The best strategy is one that offers the highest compound return consistent with no risk of going broke.

Kelly was aware that there is one type of favorable bet available to everyone; the stock market.

The engine driving the Kelly system is the "law of large numbers." In a 1713 treatise on probability, Swiss mathematician Jakob Bernoulli propounded a law that has been misunderstood by gamblers (and investors) ever since.

"Average" isn't so hot at the race track given those steep track takes. "Average" is pretty decent for stocks, something like 6 percent above the inflation rate. For a buy-and -hold investor, commissions and taxes are small.

Expectation is a statistical fiction, like having 2.5 children.

The story of the Kelly system is a story of secrets - or if you prefer, a story of entropy.