Quotation
In its simplest form, the Kelly Criterion is stated as follows:
The optimal Kelly wager = (p*(b+1)—1) / b where p is the probability (% chance of an event happening) and b is the odds received upon winning ($b per every $1 wagered).
It was Ed Thorp who first applied the Kelly Criterion in blackjack and then in the stock market.
http://compoundingmyinterests.com/compounding-the-blog/2012/10/12/how-did-ed-thorp-win-in-blackjack-and-the-stock-market.html