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The Kelly capital growth investment criterion : theory and practice / [edited by] Leonard C MacLean, Edward O Thorp, William T Ziemba
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The Kelly capital growth investment criterion : theory and practice / [edited by] Leonard C MacLean, Edward O Thorp, William T Ziemba

by Leonard C. MacLean, Edward O. Thorp, William T. Ziemba

This collection examines the Kelly capital growth criterion, a mathematical strategy designed to maximise long-run wealth through logarithmic utility. The volume explores the theory and practice of dynamic investing, addressing risk management and historical applications.

Accession 12510 ISBN 9789814293495 Publisher World Scientific
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name→ title
The Kelly capital growth investment criterion : theory and practice / [edited by] Leonard C MacLean, Edward O Thorp, William T Ziemba
vernon_id
19648
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12510
vernon_slug
the-kelly-capital-growth-investment-criterion-theory-and-practice-edited-by-leonard-c-maclean-edward-o-thorp-william-t-ziemba

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2011
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brief_description
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.

Subjects & people

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William T. Ziemba, Leonard C. MacLean, Edward O. Thorp
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Social sciences, Civilisation, Economics, Investments, Finance, Securities, Derivative securities -- Mathematical models
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