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

Penned By Leonard C. Maclean
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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

Penned By Leonard C. Maclean
4.85 62,470 Ratings
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Editor's Note:
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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Released September 30, 2010
Identifier (ISBN) 18887983
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Leonard C. Maclean

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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"Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
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"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
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"I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre."
Betty White
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"A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel."
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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. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre."
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"A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. 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. An absolute must-read for connoisseurs of the genre."
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"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."
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"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
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"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre."
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"Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me."
Kenneth Collins
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"I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend."
Joshua Green
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"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece."
Donna Gonzalez
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"I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. Perfectly average."
Jacob Collins
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"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
John Gonzalez
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"I find myself somewhat conflicted. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Suitable if your reading queue is empty."
Jessica Hill
Jessica Hill September 14, 2024
"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
Jacob Gomez
Jacob Gomez November 17, 2025
"A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers."
Carol Sanchez
Carol Sanchez July 28, 2024
"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
Jessica Campbell
Jessica Campbell December 18, 2024
"An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perhaps more aligned with a different audience's tastes."
Anthony Lee
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"Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers."
Charles Hernandez
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"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading."
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"Exceeded all my expectations. 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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Ryan Reyes
Ryan Reyes October 15, 2024
"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."
Sandra Edwards
Sandra Edwards February 19, 2025
"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Jacob Ramirez
Jacob Ramirez November 24, 2024
"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
Charles Lee
Charles Lee March 31, 2024
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
Deborah Hernandez
Deborah Hernandez October 02, 2025
"An acceptable diversion. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes."
Patricia Harris
Patricia Harris July 22, 2024
"Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
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