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.

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

"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.

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

Bernoulli's real contribution was to coin a word. The word has been translated into English as "utility". It describes this subjective value people place on money.

Shannon's most radical insight was that meaning was irrelevant.