of his portfolio relative to the Kelly bet for the simple reason that he does not know the Kelly bet.

The way out of this conundrum was discovered by information theorist Thomas Cover (1938-2012), who formulated the *individual sequence approach* to investment. For a given observed sequence of asset prices, one can look back and determine which constant-rebalanced asset allocation would have yielded the greatest final wealth *for that particular sequence*. By definition, a Kelly gambler (who knows the distribution of returns but not the individual sequence that will occur in the future) will achieve a final wealth that is no greater than that of the best constant-rebalanced portfolio determined in hindsight for the actual sequence of returns. Thus began Cover’s important *universal portfolio theory* that formulated various on-line investment schemes (1986, 1991, 1996, 1998) that guarantee to achieve a high percentage of the final wealth of the best constant unlevered rebalancing rule (of any kind) in hindsight. Of course, any such scheme would then also guarantee to achieve a high percentage of the Kelly final wealth in *iid* stock markets.

Contribution
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One can consider Cover’s performance benchmark to be a financial derivative (“Cover’s rebalancing option”) whose final payoff 