The Kelly Capital Growth Investment Criterion

The Kelly Capital Growth Investment Criterion

Review The Kelly Capital Growth Investment Criterion

by LEONARD C. MCLEAN, EDWARD O. THORP, WILLIAM T. ZIEMBA

Description

This book is solely dedicated to intensively discuss the principles and application of the fortune’s formula or more commonly known as the Kelly Capital Growth Criterion. This strategy is systematic in a way that it stretches long-term finances by expanding the period by the period expected utility of a particular wealth. However, such can only be executed through a logarithmic utility function. Mathematics deemed log utility function as a key variable as it stretches long-managed wealth and decreases the timespan of an objective. 

One has to note that the utilization of such poses an intensive level of danger, especially for short-term bettors. However, this guarantees a more rewarding return when bettor volume increases. Another thing, this strategy is capable of substantial profits as much as it can wipe out finances completely. To minimize the margin of failure, lowering financial expectations through the fractional Kelly method is highly recommended. 

Kelly Capital Growth Investment Criterion: Theory And Practice was written to facilitate knowledge acquisition of anyone who takes an interest in applying dynamic investing theories into practice. This is flexible enough to carry out comprehensible discussions for both advanced and novice, detail by detail explaining the negative and positive aspects of the theory, growth strategies, and its relation to the utility theory. 

About the Authors

LEONARD MCLEAN- He holds a Ph.D. and MA from Dalhousie University and BEd and BA from St. Francis Xavier University. Presently, he teaches Quantitative Decision Making of MBA and FS students, and he has specializations on different research and financial areas, including stochastic models, and repairable frameworks in aviation. 

EDWARD O. THORP- He is an American professor of Mathematics, an author, hedge fund professional, and gambling researcher. He is known for applied probability theory, to which he laudably developed minimal correlations for credible and secured financial profitability. 

WILLIAM T. ZIEMBA- He has over four decades of experience in the field of Finance Research and Stochastic Programming. His insights and researches heavily contributed to Portfolio Theory and Practice. 

Table of Contents 

Preface

List of Contributors

Acknowledgments

Part 1: The Early Ideas and Contributions

Part 2: Classic Papers and Theories

Part 3: The Relationship of Kelly Optimization to Asset Allocation

Part 4: Critics and Assessing the Good and Bad Properties of Kelly

Part 5: Utility Foundations

Part 6- Evidence of the Use of Kelly Type Strategies by the Great Investors and Others

Bibliography

Author index

Subject Index