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The Kelly Capital Growth Investment ...

MacLean, Leonard C.

The Kelly Capital Growth Investment CriterionTheory and Practice.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The Kelly Capital Growth Investment Criterion
Reminder of title:	Theory and Practice.
Author:	MacLean, Leonard C.
other author:	Thorp, Edward O.
Published:	Singapore :World Scientific,2011.
Description:	1 online resource (883 p.)
Subject:	InvestmentsMathematical models.
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc
ISBN:	9789814293501 (electronic bk.)

The Kelly Capital Growth Investment CriterionTheory and Practice.
MacLean, Leonard C.

The Kelly Capital Growth Investment CriterionTheory and Practice.[electronic resource] : - Singapore :World Scientific,2011. - 1 online resource (883 p.)

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 es.

ISBN: 9789814293501 (electronic bk.)Subjects--Topical Terms:

221368
Investments
--Mathematical models.Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HG4515.2 .K45 2011

Dewey Class. No.: 332.63/2042

The Kelly Capital Growth Investment CriterionTheory and Practice.
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020 $a 9789814293501 (electronic bk.)
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050 4 $a HG4515.2 .K45 2011
082 0 4 $a 332.63/2042 $a 332.63/2042
100 1 $a MacLean, Leonard C. $3 647746
245 1 4 $a The Kelly Capital Growth Investment Criterion $h [electronic resource] : $b Theory and Practice.
260 $a Singapore : $b World Scientific, $c 2011.
300 $a 1 online resource (883 p.)
520 $a 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 es.
588 $a Description based on print version record.
650 0 $a Investments $x Mathematical models. $3 221368
650 0 $a Portfolio management $x Mathematical models. $3 198981
655 0 $a Electronic books. $2 local. $3 214472
700 1 $a Thorp, Edward O. $3 566359
700 1 $a Ziemba, William T. $3 647747
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc