The Kelly capital growth investment criterion : theory and practice / editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba.

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Material type: Text

TextSeries: World Scientific handbook in financial economic series ; v. 3.Publication details: Singapore ; Hackensack, N.J. : World Scientific, ©2011.Description: 1 online resource (xxvi, 853 pages) : illustrations, portraitContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9789814293501
9814293504
128314834X
9781283148344

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Genre/Form:

Additional physical formats: Print version:: Kelly capital growth investment criterion.DDC classification:

332.63/2042 22

LOC classification:

HG4515.2 .K45 2011eb

Online resources:

Click here to access online

Contents:

pt. 1. The early ideas and contributions -- pt. 2. Classic papers and theories -- pt. 3. The relationship of Kelly optimization to asset allocation -- pt. 4. Critics and assessing the good and bad properties of Kelly -- pt. 5. Utility foundations -- pt. 6. Evidence of the use of Kelly type strategies by the great investors and others.

Summary: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with es.

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Includes bibliographical references and indexes.

Print version record.

This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with es.

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