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The Kelly Capital Growth Investment ...
~
Ziemba, William T.
The Kelly Capital Growth Investment Criterion = Theory 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:
Investments - Mathematical models. -
Online resource:
http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc
ISBN:
9789814293501 (electronic bk.)
The Kelly Capital Growth Investment Criterion = Theory 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:
131694
Investments
--Mathematical models.Index Terms--Genre/Form:
96803
Electronic books.
LC Class. No.: HG4515.2 .K45 2011
Dewey Class. No.: 332.63/2042
The Kelly Capital Growth Investment Criterion = Theory 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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Description based on print version record.
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http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc
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