The Kelly Capital Growth Investment Criterion: Theory and Practice

The Kelly Capital Growth Investment Criterion Theory and Practice 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

  • Title: The Kelly Capital Growth Investment Criterion: Theory and Practice
  • Author: Leonard C. Maclean Edward O. Thorp William T. Ziemba
  • ISBN: 9789814465816
  • Page: 301
  • Format: ebook
  • 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 longThis 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 essentially different strategies So most of the time, the Kelly bettor will have much wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing Good and bad properties are discussed, as are fixed mix and volatility induced growth strategies The relationships with utility theory and the use of these ideas by great investors are featured.Contents The Early Ideas and Contributions Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk translated by Louise Sommer D Bernoulli A New Interpretation of Information Rate J R Kelly, Jr Criteria for Choice among Risky Ventures H A Latan Optimal Gambling Systems for Favorable Games L Breiman Optimal Gambling Systems for Favorable Games E O Thorp Portfolio Choice and the Kelly Criterion E O Thorp Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions N H Hakansson On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields N H Hakansson Evidence on the Growth Optimum Model R Roll Classic Papers and Theories Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment R M Bell and T M Cover A Bound on the Financial Value of Information A R Barron and T M Cover Asymptotic Optimality and Asymptotic Equipartition Properties of Log Optimum Investment P H Algoet and T M Cover Universal Portfolios T M Cover The Cost of Achieving the Best Portfolio in Hindsight E Ordentlich and T M Cover Optimal Strategies for Repeated Games M Finkelstein and R Whitley The Effect of Errors in Means, Variances and Co Variances on Optimal Portfolio Choice V K Chopra and W T Ziemba Time to Wealth Goals in Capital Accumulation L C MacLean, W T Ziemba, and Y Li Survival and Evolutionary Stability of Rule the Kelly I V Evstigneev, T Hens, and K R Schenk Hopp Application of the Kelly Criterion to Ornstein Uhlenbeck Processes Y Lv and B K Meister The Relationship of Kelly Optimization to Asset Allocation Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability Optimal Portfolio Strategies in Continuous Time S Browne Growth versus Security in Dynamic Investment Analysis L C MacLean, W T Ziemba, and G Blazenko Capital Growth with Security L C MacLean, R Sanegre, Y Zhao, and W T Ziemba

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    About “Leonard C. Maclean Edward O. Thorp William T. Ziemba

    • Leonard C. Maclean Edward O. Thorp William T. Ziemba

      Leonard C. Maclean Edward O. Thorp William T. Ziemba Is a well-known author, some of his books are a fascination for readers like in the The Kelly Capital Growth Investment Criterion: Theory and Practice book, this is one of the most wanted Leonard C. Maclean Edward O. Thorp William T. Ziemba author readers around the world.

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