This is the smartest single comment on the thread and in my experience the correct route to the answer begins down on the French Riviera. Forget using Kelly unless you are sat at a blackjack table. As has been stated here previously the underlying assumptions are fundamentally flawed when applied to the markets.
And these examples of individual fraud and poor operational risk control are examples of what, exactly? that there are people who commit crimes?
nice reading from very same Ralph himself exactly the same what my thought was, so no need to ask it. I've read ur Mathematics and i'm deeply thanked to ur work. Then i've read GARP's FRM handbook and definetly ur quote above sumarizes it all. In other words, the rich are already rich, beat inflation, and that's about it, no need for goin crazy like us ( me at least ) little fish. imo regards