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.
Contents:
The Early Ideas and Contributions:
Introduction to the Early Ideas and Contributions
Exposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) (D Bernoulli)
A New Interpretation of Information Rate (J R Kelly, Jr)
Criteria for Choice among Risky Ventures (H A Latan?)
Optimal Gambling Systems for Favorable Games (L Breiman)
Postdoctoral and graduate students, researchers, academics, and professionals interested in betting strategies.
Kelly Capital Growth Investment Criterion, The: Theory And Practice Ebook
By: Maclean Leonard C
Publisher:
World Scientific
Print ISBN: 9789814293495, 9814293490
eText ISBN: 9789814293501, 9814293504
Copyright year: 2011
Format: PDF
Available from $ 147.00 USD
SKU: 9789814293501
