On the applicability of the Kelly criterion to Engineering Economics

摘要

This paper is concerned with studying the potential application of the Kelly criterion to the Engineering Economics world. It is about calculating how much to bet or invest for maximizing the long-term growth rate of the repeated plays of a given game. This criterion has been extensively tested and exploited in the gambling world and used to allocate an optimal amount of the total investment fund to each security to achieve the objective in a financial market. However, based on my extensive survey research, I realized that there was no research done about applying the Kelly criterion in the Engineering Economics world. Therefore, we will show the applicability of the Kelly criterion to the short hypothetical problems of Engineering Economics and briefly to discuss the difficulty in employing it in the Engineering Economics world.