Investing: Kelly Criterion

Over the last few years - while researching trading strategies - I happened to learn about the Kelly Criterion:
http://en.wikipedia.org/wiki/Kelly_criterion

In probability theory, the Kelly criterion, or Kelly strategy or Kelly formula, or Kelly bet, is a formula used to determine the optimal size of a series of bets. In most gambling scenarios, and some investing scenarios under some simplifying assumptions, the Kelly strategy will do better than any essentially different strategy in the long run. It was described by J. L. Kelly, Jr in 1956

http://www.bjmath.com/bjmath/kelly/kellyfaq.htm