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Kelly Capital Growth Investment Criterion, The: Theory And Practice
Maclean Leonard C Et
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Description for Kelly Capital Growth Investment Criterion, The: Theory And Practice
Hardback. Presents the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. Editor(s): MacLean, Leonard C.; Thorp, Edward O.; Ziemba, William T. Series: World Scientific Handbook in Financial Economics Series. Num Pages: 884 pages, black & white illustrations, black & white tables, figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 249 x 170 x 51. Weight in Grams: 1633.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2011
Publisher
World Scientific Publishing Co Pte Ltd
Number of pages
700
Condition
New
Series
World Scientific Handbook in Financial Economics Series
Number of Pages
884
Place of Publication
Singapore, Singapore
ISBN
9789814293495
SKU
V9789814293495
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-2
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