A New Interpretation of Information Rate

TL;DR — The 1956 Bell Labs paper that introduced the Kelly criterion: how much of your bankroll to bet when you have an edge.

Bell System Technical Journal, 1956. Kelly asks what happens when the symbols on a communication channel are the outcomes of a bet available at fair odds, and shows that a gambler with a private wire should bet a fraction of capital that maximises the growth rate of wealth. That fraction, set by the size of the edge, is now known as the Kelly criterion and is used in portfolio sizing.

What it is: a foundational paper in information theory and finance, 10 pages, hosted on a Princeton reading list.

Where this came from

• r/obscurePDFs post, October 2022 — “A New Interpretation of Information Rate”. Routing record: The obscurePDFs Subreddit

10 pages. A copy is archived locally against link rot; the header links the original source.