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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

4.85 52,100 ratings · 1,128 reviews
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Overview: 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 ContributionsExposition 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 Latané)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the “Growth-Optimum-Model” "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hoppé)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

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Published September 30, 2010
ISBN 18887983
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Leonard C. Maclean
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Leonard C. Maclean writes contemporary fiction and has always been fascinated by character-driven stories. They hold a degree in English Literature and previously worked as an editor before transitioning to writing their own books. Leonard C. Maclean lives with their spouse and a very vocal rescue cat.

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Brian Anderson
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
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It was adequate. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perhaps more aligned with a different audience's tastes.
Carol Johnson
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A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Rebecca Edwards
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Joshua Torres
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Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
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Sarah Collins
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Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
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Mark Lewis January 21, 2025
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
John Turner
John Turner March 13, 2024
It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Suitable if your reading queue is empty.
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
William Lopez
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Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
Kimberly Miller
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Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
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A decent, if standard, experience. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perhaps more aligned with a different audience's tastes.
Rebecca Harris
Rebecca Harris September 10, 2025
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Carol Taylor
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A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Michael Allen
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Not entirely to my refined tastes. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perhaps more aligned with a different audience's tastes.
Ryan Reyes
Ryan Reyes September 23, 2024
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Rebecca Baker
Rebecca Baker July 27, 2024
A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
Richard Lewis
Richard Lewis August 31, 2025
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Elizabeth Young
Elizabeth Young February 03, 2024
Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Sarah Williams
Sarah Williams February 26, 2025
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Gary Hill
Gary Hill September 13, 2024
Not entirely to my refined tastes. Certain acts were fascinating, while others felt like a slight endeavor to complete. A fair 3 stars.
Rebecca Wilson
Rebecca Wilson November 22, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Donald White
Donald White May 09, 2024
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Edward Perez
Edward Perez August 31, 2024
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Stephanie Moore
Stephanie Moore April 07, 2024
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Patricia Rodriguez
Patricia Rodriguez September 21, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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