I've posted this before. It cites a Kelly analysis regarding asset allocation between stocks and T-Bills.

"Some here might like enjoy this paper on the Kelly criterion as applied to stocks.

sites.math.washington.edu: PDF document

As you know, the Kelly ratio is the fraction of one's money that when bet, or the fraction of one's portfolio that when invested, mathematically gives the highest rate of return over time. The result is found at the bottom of page 8. According to this analysis, for a portfolio of stocks and T-Bills the optimal fraction is

f = (expected return of the stock market - expected return of T-Bills)/(standard deviation of stock market)^2

The year-to-year standard deviation of the return of stocks is about 0.2, so the result is

(expected return of stocks - expected return of T-Bills) ---> optimal fraction of portfolio in stocks
4 ---> 100%
3 ---> 75%
2 ---> 50%
1 ---> 25%
0 ---> 0%

For example, if your portfolio consists of T-Bills and an S&P 500 index fund, and if you think that the S&P 500 will return 3% over some period of years and that T-Bills will also return 3%, then you want to invest 0% in the S&P 500 and 100% in T-Bills. If your portfolio consists of T-Bills and BRK/B, and if you think that BRK/B will return 6% over some period of years and that T-Bills will return 3%, then you want to invest 25% in T-Bills and 75% in BRK/B (actually slightly more in BRK/B since the standard deviation of BRK/B is slightly less than the standard deviation of the S&P 500).

This analysis contains some simplifying assumptions, but qualitatively it looks reasonable."