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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
Paperback. Provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. This volume covers various aspects of the theory and practice of dynamic investing. It discusses good and bad properties, as are fixed-mix and volatility induced growth strategies. Editor(s): MacLean, Leonard C.; Thorp, Edward O.; Ziemba, William T. Num Pages: 884 pages, black & white line drawings, black & white tables, figures. BIC Classification: KFFM. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 168 x 249 x 45. Weight in Grams: 1510.
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
Publisher
World Scientific Publishing Co Pte Ltd
Format
Paperback
Publication date
2011
Series
World Scientific Handbook in Financial Economics Series
Condition
New
Weight
1520g
Number of Pages
884
Place of Publication
Singapore, Singapore
ISBN
9789814383134
SKU
V9789814383134
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-2
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