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NancyLebovitz comments on The Fallacy of Large Numbers - Less Wrong Discussion
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I don't have the book handy, but The Quants (about people who tried applying advanced math to the stock market) mentions that Thorpe (the inventor of card counting) did some work on what percentage of your wealth you can bet safely, and that this was ignored by the younger generation of quants.
That's the Kelly criterion, equivalent to having logarithmic utility for money.