000			01897nam a22002777a 4500
999			_c56637 _d56637
005			20210802121918.0
008			200707b ||||| |||| 00| 0 eng d
020			_a9789814383134
028			_aBrijwasi Book Distributors _b;H-87,Lalita Park,Laxmi Nagar,Delhi-110092 _c;BW/005820 _d;01/06/2020
082			_a332.632042 MAC
100			_aL C MacLean
100			_a; Edward O Thorp
100			_a; W T Ziemba
245			_aThe Kelly capital growth investment criterion _b: theory and practice _c/L C MacLean
260			_aSingapore ; Hackensack, N.J. _b: World Scientific _c, ©2011.
300			_axxvi, 853 pages _c;26 cm.
365			_b1695
490			_aWorld Scientific handbook in financial economic series, v. 3.
505			_a 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
520			_aThis 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
650			_aEconomics
655			_aInvestments -- Mathematical models. _bPortfolio management -- Mathematical models.
700			_aEdward O Thorp
700			_a; W T Ziemba
942			_cBOOK