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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic 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 Economic Series, 3)

Penned By Leonard C. Maclean
4.85 90,306 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) 8368511
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Leonard C. Maclean
The Mind Behind the Work
Leonard C. Maclean

Leonard C. Maclean is the author of several novels. Originally from the East Coast, they now live in the Midwest with family. In addition to writing, Leonard C. Maclean enjoys gardening, cooking, and reading way past bedtime. Their work often explores the complexities of everyday life and human relationships.

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"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
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"An acceptable diversion. It verged on repetitive in the second act. A more concise edit would have served it well. Perfectly average."
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
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"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem."
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
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Charles Mitchell
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"An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perhaps more aligned with a different audience's tastes."
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"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece."
Daniel Turner
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"Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
Deborah Jackson
Deborah Jackson August 23, 2024
"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
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"Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall."
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"Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me."
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Linda Hall March 18, 2025
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre."
Joseph Cruz
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"A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel."
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"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
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Paul Nguyen
Paul Nguyen October 28, 2025
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
George Clark
George Clark March 04, 2025
"Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
Ryan King
Ryan King October 31, 2025
"A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars."
Brian Mitchell
Brian Mitchell April 02, 2025
"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece."
Paul Diaz
Paul Diaz June 01, 2025
"Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars."
Sandra Collins
Sandra Collins October 05, 2024
"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
Anthony Perez
Anthony Perez January 26, 2025
"An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. A fair 3 stars."
Edward Garcia
Edward Garcia November 18, 2024
"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading."
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