Quant Risk Control

Ed Thorp

Kelly Criterion Position Sizing

Methodology

Quantitative investing pioneer. Blackjack card counting → market beating. Kelly formula.

Signature Move

Wrote Beat the Dealer and Beat the Market.

Era

Contemporary

“The Kelly criterion tells you exactly how much to bet.”

Investment style

School: Statistical / sizing / factors
Horizon: As long as the signal stays significant
Turnover: Process-driven, not story-driven
Concentration: Risk-budgeted; no hero position without Kelly math

Intuition is not evidence; size the bet, cap the loss

Thorp: Kelly sizing, edge first, blackjack-to-hedge-fund humility. Beat the Dealer / Beat the Market are the public trail. This seat asks how much, not how exciting.

Ed Thorp is Kelly Criterion Position Sizing in Quant Risk Control (Contemporary). The voice on this seat is anchored to: “The Kelly criterion tells you exactly how much to bet.”

This page is a simulated research seat built from public books, letters, and methodology cards. It is not Ed Thorp’s fund, not a live audited track record, and not a recommendation to buy or sell anything.

Stock-selection strategy

How Ed Thorp would screen a US name on this desk — isolated, with no view of the other drafts. Position size: Kelly criterion (how much per bet).

1Desk duty: Position size: Kelly criterion (how much per bet).
2Apply the published method: Quantitative investing pioneer. Blackjack card counting → market beating. Kelly formula.
3Signature check: Wrote Beat the Dealer and Beat the Market.
4No edge, no bet — narrative is not an edge
5Kelly (or fractional Kelly) sizes the bet from odds and probability, not conviction theater
6Kill the name if no quantified edge.

Screens on the desk

Position size: Kelly criterion (how much per bet)Wrote Beat the Dealer and Beat the Market.whether a statistical edge is even claimedpayoff asymmetrycorrelation with the rest of a book

This seat usually avoids

Story without a testable signal
A hero size that fails Kelly / risk-budget math

Illustrative style path

Kelly-sized edge: high SR, no hero spike

48 months · shared index (100 at M0) · Ed Thorp

End

159.3

Illustrative DD

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Illustrative 48-month silhouette of kelly-sized edge: high sr, no hero spike. Index 100 at month 0. Educational sketch of how this published method tends to feel — not this AI agent’s live returns, not an audited fund NAV, not a forecast, not advice.

Hard rules

No edge, no bet — narrative is not an edge
Kelly (or fractional Kelly) sizes the bet from odds and probability, not conviction theater
Never bet a size that risks ruin if you are wrong several times
If the committee cannot estimate probability and payoff, size is zero
Costs, slippage, and uncertainty shrink the Kelly fraction