[sohei]

> I guess the question "How do you size your positions?" needs to start somewhere.

Maybe the question itself is a good place to start. If someone asked me about Kelly, my mind would immediately drift from "statistical models and dynamic programming" to something else.

The real engineering problem is threefold: (1) how do I model my return generating process, (2) what is my utility function, and (3) do the first two steps yield a tractable Bellman equation?

If the problem is framed right, most people will have something to say about 1 and 2. The third part is tricky. A real world solution will involve finite element methods. But in an interview, people may be hesitant to bring up approaches that don't yield closed form solutions.

That's what's special about Kelly. It's assumptions for steps 1 and 2 that produce a closed form solution in step 3.