01897nam a22002777a 4500 56637 56637 20210802121918.0 200707b ||||| |||| 00| 0 eng d 9789814383134 Brijwasi Book Distributors ;H-87,Lalita Park,Laxmi Nagar,Delhi-110092 ;BW/005820 ;01/06/2020 332.632042 MAC L C MacLean ; Edward O Thorp ; W T Ziemba The Kelly capital growth investment criterion : theory and practice /L C MacLean Singapore ; Hackensack, N.J. : World Scientific , ©2011. xxvi, 853 pages ;26 cm. 1695 World Scientific handbook in financial economic series, v. 3. pt. 1. The early ideas and contributions -- pt. 2. Classic papers and theories -- pt. 3. The relationship of Kelly optimization to asset allocation -- pt. 4. Critics and assessing the good and bad properties of Kelly -- pt. 5. Utility foundations -- pt. 6. Evidence of the use of Kelly type strategies by the great investors and others 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 Economics Investments -- Mathematical models. Portfolio management -- Mathematical models. Edward O Thorp ; W T Ziemba BOOK 0 0 ddc 0 0 SNUL SNUL 2020-07-07 Brijwasi Book Distributors 1695.00 0 332.632042 MAC 27629 2020-07-07 00:00:00 2020-07-07 BOOK