According to Wikipedia:
Kelly bet is a formula for bet sizing that leads almost surely to higher wealth compared to any other strategy in the long run (i.e. the limit as the number of bets goes to infinity). The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected geometric growth rate.
A Kelly bet is simply the optimal amount you should bet on a single trade (in my case) when you have some statistical edge (>50% chance with an even payoff) or some risk-to-reward payoff that pays off well despite low probability of success (e.g. a 30% likelihood trade that pays off 4 to 1 odds.)
Enlightenment Investing 