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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3) - Hardcover
Synopsis
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....
About the Author
Leonard C MacLean is the Herbert S Lamb Chair in Business at the School of Business Administration, Dalhousie University, Halifax, Nova Scotia, Canada. His research interests include stochastic optimization models in finance, and models for repairable systems in aviation, funded by grants from the Natural Sciences and Engineering Research Council of Canada.
Edward O Thorp is widely known as the author of the 1962 Beat the...
Review
The present handbook assembles in an impressive way the classical papers and also provides the link to modern research. It also presents important papers with a critical view towards the Kelly criterion. Among them figures the famous three-page paper of P. Samuelson from 1979 which is written by using exclusively one-syllable words. -- Professor Walter Schachermayer "Faculty of Mathematics, University of Vienna"
For those who have heard of the Kelly...
"About this title" may belong to another edition of this title.
- PublisherWorld Scientific Pub Co Inc
- Publication date2010
- ISBN 10 9814293490
- ISBN 13 9789814293495
- BindingHardcover
- LanguageEnglish
- Number of pages853
- EditorLeonard C. MacLean, Edward O. Thorp, William T. Ziemba
- Rating
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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3)
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KELLY CAPITAL GROWTH INVESTMENT CRITERION: THEORY AND PRACTICE
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ISBN 13: 9789814293495
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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3)
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ISBN 13: 9789814293495
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Kelly Capital Growth Investment Criterion : Theory and Practice
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Kelly Capital Growth Investment Criterion, The: Theory and Practice
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Kelly Capital Growth Investment Criterion, The: Theory and Practice
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ISBN 10: 9814293490
ISBN 13: 9789814293495
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The Kelly Capital Growth Investment Criterion
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The Kelly Capital Growth Investment Criterion
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Kelly Capital Growth Investment Criterion : Theory and Practice
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ISBN 13: 9789814293495
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