TY  - BOOK
AU  - L C MacLean
AU  - ; Edward O Thorp
AU  - ; W T Ziemba
AU  - Edward O Thorp
AU  - ; W T Ziemba
TI  - The Kelly capital growth investment criterion : : theory and practice
T2  - World Scientific handbook in financial economic series, v. 3
SN  - 9789814383134
U1  - 332.632042 MAC 
PY  - 2011///
CY  - Singapore ; Hackensack, N.J. 
PB  - : World Scientific
KW  - Economics
KW  - Investments -- Mathematical models
KW  - Portfolio management -- Mathematical models
N1  - 	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
N2  - 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
ER  -