Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models. The model developed here combines risk and return into a single objective function by incorporating a risk parameter. This model is then solved for a portfolio of 10 stocks from a major stock exchange using a differential evolution algorithm. Monte Carlo calculations are used to verify the accuracy of the results obtained from differential evolution. The results show that evolutionary algorithms can be successfully applied to solve a portfolio optimization problem where returns are calculated by applying Kelly's Criterion to each of the assets in the portfolio.

We present a general process for the halting problem, valid regardless of the time and space computational complexity of the decision problem. It can be interpreted as the maximization of entropy for the utility function of a given Shannon-Kolmogorov-Bernoulli process. Applications to non-polynomials problems are given. The new interpretation of information rate proposed in this work is a method that models the solution space boundaries of any decision problem (and non polynomial problems in general) as a communication channel by means of Information Theory. We described a sort method that order objects using the intrinsic information content distribution for the elements of a constrained solution space - modeled as messages transmitted through any communication systems. The limits of the search space are defined by the Kolmogorov-Chaitin complexity of the sequences encoded as Shannon-Bernoulli strings. We conclude with a discussion about the implications for general decision problems in Turing machines.

Financial time series and other human-driven, non-natural processes are known to exhibit fat-tailed outcome distributions. That is, such processes demonstrate a greater tendency for extreme outcomes than the normal distribution or other natural distributional processes would predict. We examine the mathematical expectation, or simply "expectation," traditionally the probability-weighted outcome, regarded since the seventeenth century as the mathematical definition of "expectation." However, when considering the "expectation" of an individual confronted with a finite sequence of outcomes, particularly existential outcomes (e.g., a trader with a limited time to perform or lose his position in a trading operation), we find this individual "expects" the median terminal outcome over those finite trials, with the classical seventeenth-century definition being the asymptotic limit as trials increase to this. Since such finite-sequence "expectations" often differ in values from the classic one, so do the optimal allocations (e.g., growth-optimal). We examine these for fat-tailed distributions. The focus is on implementation, and the techniques described can be applied to all distributional forms.

Distributed Systems architectures are becoming the standard computational model for processing and transportation of information, especially for Cloud Computing environments. The increase in demand for application processing and data management from enterprise and end-user workloads continues to move from a single-node client-server architecture to a distributed multitier design where data processing and transmission are segregated. Software development must considerer the orchestration required to provision its core components in order to deploy the services efficiently in many independent, loosely coupled - physically and virtually interconnected - data centers spread geographically, across the globe. This network routing challenge can be modeled as a variation of the Travelling Salesman Problem (TSP). This paper proposes a new optimization algorithm for optimum route selection using Algorithmic Information Theory. The Kelly criterion for a Shannon-Bernoulli process is used to generate a reliable quantitative algorithm to find a near optimal solution tour. The algorithm is then verified by comparing the results with heuristic solutions in 3 test cases. A statistical analysis is designed to measure the significance of the results between the algorithms and the entropy function can be derived from the distribution. The tested results shown an improvement in the solution quality by producing routes with smaller length and time requirements. The quality of the results proves the flexibility of the proposed algorithm for problems with different complexities without relying in nature-inspired models such as Genetic Algorithms and Simulated Annealing. This algorithm can be used by orchestration applications to deploy services across large cluster of nodes by making better decision in the route design.