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The Kelly Capital Growth Investment ...
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MacLean, Leonard C.
The Kelly Capital Growth Investment CriterionTheory and Practice.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
The Kelly Capital Growth Investment Criterion
其他題名:
Theory and Practice.
作者:
MacLean, Leonard C.
其他作者:
Thorp, Edward O.
出版者:
Singapore :World Scientific,2011.
面頁冊數:
1 online resource (883 p.)
標題:
InvestmentsMathematical models.
電子資源:
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 Criterion
Theory 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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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.
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http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc
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