If you don't know what Kelly Criterion is: http://en.wikipedia.org/wiki/Kelly_criterion Essentially my question is: How do you convert kelly between bets that have different time frames? Let's say somehow you have figured out an edge in all the casino games...blackjack, roulette, sports betting, etc. Some games have a higher kelly bet than others. Given that these games take different amounts of time to pay off, meaning you can't do anything else with the money you've wagered, which do you choose? For example, let's say blackjack hands are dealt at 1 per minute and sports bets take one full day. If the kelly you've calculated is 10% for sports betting and only 1% for blackjack which would you rather play given that you can only do one. You've got a higher edge in sports betting, but you can only do it once while in blackjack you have a lower edge but can bet ever minute for a full 24 hours. Extrapolate to the financial markets... Day trading (small kelly, short timeframe) or long-term investing (large kelly, long time frame)? And yes, I know trading/investing is not that simplistic and so kelly won't really apply which is why I went with the casino example above. Thanks for your input.