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The Kelly Capital Growth Investment ...

MacLean, Leonard C.

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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 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:

549985
Investments
--Mathematical models.Index Terms--Genre/Form:

542853
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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020 $a 9789814293501 (electronic bk.)
020 $a 9814293504
035 $a ocn742333491
040 $a EBLCP $b eng $c EBLCP $d OCLCQ $d IDEBK $d OCLCQ $d DEBSZ
049 $a FISA
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 2016118
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 549985
650 0 $a Portfolio management $x Mathematical models. $3 647826
655 0 $a Electronic books. $2 lcsh $3 542853
700 1 $a Thorp, Edward O. $3 983227
700 1 $a Ziemba, William T. $3 2016119
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc