Kelly Criterion - Bernoulli

Bernoulli

In a 1738 article, Daniel Bernoulli suggested that when one has a choice of bets or investments that one should choose that with the highest geometric mean of outcomes. This is mathematically equivalent to the Kelly criterion, although the motivation is entirely different (Bernoulli wanted to resolve the St. Petersburg paradox). The Bernoulli article was not translated into English until 1956, but the work was well-known among mathematicians and economists.