Fortune’s Formula, William Poundstone, 2006 - What a fascinating storyteller the author is! The narrative spans across decades over the common theme of embracing risk, teasing out the odds mathematically based on the relativity of randomness and betting - in casinos, wall street, in the mafia and in life. The way some of the characters like illegal bookie and mafioso Manny Kimmel resurface later towards the end of the book owning businesses like Warner Communications from owning parking lots would make this a fantastic Scorsese flick. In fact I had the mental image of reading the script of Casino/Goodfellas
Bulk of the book deals with Claude Shannon and Ed Thorp in their endeavors to develop an edge against the house, be it in blackjack through card-counting or in roulette through a device that could convey odds based tilt and speed of rotation and later on in the stock market. The importance of the geometric mean and Kelly criterion and how information becomes money (fantastic use of information theory and Kelly criterion to the markets) were the most beautiful parts of the book.
The fine art of position-sizing and portfolio rebalancing (half-Kelly bets, constant-proportion rebalancing, utility functions)is discussed in some serious depth here in the second half of the book, all in the context of work done by Thorp and Shannon. Not many books get the proportion of biographical and technical content right and also still weave a coherent narrative as good as this one does. 10/10