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.
Theory and Practice
Hardback
Publication Date: 11/02/2011
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.
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.
- ISBN:
- 9789814293495
- 9789814293495
- Category:
- Investment & securities
- Format:
- Hardback
- Publication Date:
- 11-02-2011
- Publisher:
- World Scientific Publishing Co Pte Ltd
- Country of origin:
- Singapore
- Pages:
- 884
- Dimensions (mm):
- 249x170x51mm
- Weight:
- 1.63kg
Click 'Notify Me' to get an email alert when this item becomes available
Great!
Click on Save to My Library / Lists
Click on Save to My Library / Lists
Select the List you'd like to categorise as, or add your own
Here you can mark if you have read this book, reading it or want to read
Awesome! You added your first item into your Library
Great! The fun begins.
Click on My Library / My Lists and I will take you there
Click on My Library / My Lists and I will take you there
Reviews
Be the first to review Kelly Capital Growth Investment Criterion.
Share This Book: