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The Kelly Capital Growth Investment Criterion : Theory and Practice by Edward O . Thorp, Leonard C. MacLean and William T. Ziemba (2010, Hardcover)

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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 essentially different strategies. So most of the time, the Kelly bettor will have much more 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.

Product Identifiers

Publisher
World Industries Scientific Publishing Co Pte LTD
ISBN-10
9814293490
ISBN-13
9789814293495
eBay Product ID (ePID)
80056898

Product Key Features

Book Title
Kelly Capital Growth Investment Criterion : Theory and Practice
Author
Edward O . Thorp, William T. Ziemba, Leonard C. Maclean
Format
Hardcover
Language
English
Topic
Game Theory, Finance / General, Investments & Securities / Analysis & Trading Strategies, Investments & Securities / General
Publication Year
2010
Genre
Business & Economics, Mathematics
Number of Pages
900 Pages

Dimensions

Item Weight
0.1 Oz

Additional Product Features

Lc Classification Number
Hg4515.2
Copyright Date
2010
Lccn
2010-044902
Illustrated
Yes

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item 1 KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scie,
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item 2 THE KELLY CAPITAL GROWTH INVESTMENT CRITERION: THEORY AND By Leonard C. Maclean
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item 3 Kelly Capital Growth Investment Criterion, The: Theory and Practice by MacLean
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item 4 Kelly Capital Growth Investment Criterion : Theory and Practice, Hardcover by...
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item 5 Kelly Capital Growth Investment Criterion : Theory and Practice, Hardcover by...
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item 6 Kelly Capital Growth Investment Criterion, The: Theory And Practice by Leonard C
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item 7 Edward O Thorp Kelly Capital Growth Investment Criterion, (Hardback) (UK IMPORT)
$448.76
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The Kelly Capital Growth Investment Criterion : Theory and Practice by Edward O . Thorp, Leonard C. MacLean and William T. Ziemba (2010, Hardcover)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

All listings for this product

item 1 KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scie,

item 2 THE KELLY CAPITAL GROWTH INVESTMENT CRITERION: THEORY AND By Leonard C. Maclean

item 3 Kelly Capital Growth Investment Criterion, The: Theory and Practice by MacLean

item 4 Kelly Capital Growth Investment Criterion : Theory and Practice, Hardcover by...

item 5 Kelly Capital Growth Investment Criterion : Theory and Practice, Hardcover by...

item 6 Kelly Capital Growth Investment Criterion, The: Theory And Practice by Leonard C

item 7 Edward O Thorp Kelly Capital Growth Investment Criterion, (Hardback) (UK IMPORT)

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If I Did It : Confessions of the Killer by The Goldman The Goldman Family and O. J. Simpson (2008, Trade Paperback)

The Book of Enoch by Enoch (2017, Hardcover)

Magic Tree House (R) Ser.: Magic Tree House Books 1-28 Boxed Set by Mary Pope Osborne (2008, UK-Trade Paper)

Fast Like a Girl : A Woman's Guide to Using the Healing Power of Fasting to Burn Fat, Boost Energy, and Balance Hormones by Mindy Pelz (2022, Hardcover)

Save on Books

Sailor Moon Raisonne ART WORKS 1991 - 2023 Normal Edition 9784065309094

😇, 😇DIAGNOSTIC STATISTICAL MANUAL OF MENTAL DISORDERSvTEXT REVISION DSM 5 TR

If I Did It: Confessions of the Killer by The Goldman Family (English) Paperback

THE BOOK OF ENOCH - Translated by R. H Charles (1917 Translation, Hardback)

Magic Tree House Books 1-28 Boxed Set by Mary Pope Osborne, "NEW"

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