A book about gambling and probability and investing. It features Claude Shannon, a mathematical genius, and a host of other mathematicians, economists, investors, and criminals. The "Kelly Criterion" is a theme running through the whole book. It is a theory about risk and how much of your bankroll to hazard on a bet or investment. The efficient market theory and random walk theory are featured as well.
The big question is whether one can beat the market. My impression is that there are perhaps some small areas of "inefficiency" in the market that a very smart mathematician can exploit, but that in practice most (but not all) of these plans fail due to hubris or lack of discipline or (and this is well shown in the book) someone cheating or changing the rules.
The takeaway message to me is diversify and don't try to time or predict the market (see Solin above).
5/2008
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