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Kelly Capital Growth Investment Criterion, The: Theory And Practice

by Leonard C. Maclean, William T. Ziemba, Edward O. Thorp
Kelly Capital Growth Investment Criterion, The: Theory And Practice - Thryft
Kelly Capital Growth Investment Criterion, The: Theory And Practice - Thryft

Maximize wealth with risky, mathematical precision

The Kelly Capital Growth Investment Criterion is a must-read for investors seeking to maximize their wealth in the long-run. Through the use of mathematical theorems and a logarithmic utility function, the Kelly strategy has been proven to minimize the expected time to achieve large goals. While the strategy may be risky in the short-term, it can lead to considerably larger wealth than other strategies over time. This book covers various aspects of the theory and practice of dynamic investing, including fixed-mix and volatility-induced growth strategies.

Note: While we do our best to ensure the accuracy of cover images, ISBNs may at times be reused for different editions of the same title which may hence appear as a different cover.

Kelly Capital Growth Investment Criterion, The: Theory And Practice

by Leonard C. Maclean, William T. Ziemba, Edward O. Thorp
Condition guide

Book Condition Guide

Books in Like New Condition

This book may contain very minor cosmetic defects, but it is in pristine condition. There should be no yellowing, no foxing, no water damage, and no annotations of any kind on the cover and the pages. For paperbacks, there should not be any crease marks on the spine. This book is good as new — lucky you!

*Books may be missing bundle media (e.g. CD, e-book code), if included.

Books in Very Good Condition

This book has been used, but it is still in a clean condition. There should be no foxing or annotations of any kind on the inner pages, but a sparse amount may be present on the cover, title pages, or outside edges of the book. There should be no water damage of any kind. For paperbacks, there may be light crease marks on the spine.

*Books may be missing bundle media (e.g. CD, e-book code), if included.

Books in Good Condition

We do our best to ensure the quality of our books, but there is no escaping the wear and tear that comes with time. Slight foxing and some annotations may be present on the pages and the cover. There should be no water damage of any kind. For paperbacks, there may be several crease marks on the spine.

*Books may be missing bundle media (e.g. CD, e-book code), if included.

Books in Well Read Condition

This is a well-read book, which means that the previous owner probably really enjoyed it! The cover and pages may include moderate foxing and annotations, but the text is not obscured and still readable. Moderate cosmetic defects and minor water damage may be present on the edges of the book. For paperbacks, there may be multiple crease marks on the spine.

*Books may be missing bundle media (e.g. CD, e-book code), if included.

 

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ISBN: 9789814383134
Authors: Leonard C. Maclean, William T. Ziemba, Edward O. Thorp
Publisher: World Scientific Publishing Company
Date of Publication: 2011-02-11
Format: Paperback
Related Collections: Economics, Business, Science
Related Topics: Finance, Finance, Mathematics
Goodreads rating: 4.18
(rated by 67 readers)

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.
 

Maximize wealth with risky, mathematical precision

The Kelly Capital Growth Investment Criterion is a must-read for investors seeking to maximize their wealth in the long-run. Through the use of mathematical theorems and a logarithmic utility function, the Kelly strategy has been proven to minimize the expected time to achieve large goals. While the strategy may be risky in the short-term, it can lead to considerably larger wealth than other strategies over time. This book covers various aspects of the theory and practice of dynamic investing, including fixed-mix and volatility-induced growth strategies.

Note: While we do our best to ensure the accuracy of cover images, ISBNs may at times be reused for different editions of the same title which may hence appear as a different cover.

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