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Publisher: World Scientific Publishing Company
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ISBN: 9814293490
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The Kelly Capital Growth Investment Criterion: Theory and Practice (World Scientific Handbook in Financial Economic Series)
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called.The Kelly Capital Growth Investment Criterion review. 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 timeRead full reviews of The Kelly Capital Growth Investment Criterion:Theory And Pr... Ebook.
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format paperback language english publication year 11 02 2011 subject management business economics industry subject 2 business accounting vocational textbooks study guides title the kelly capital growth investment criterion theory and practice author leonard c maclean editor thorp edward o editor ziemba william t editor publisher world scientific pub co inc publication date feb 10 2012 pages 884 binding paperback dimensions 6 61 wx 9 76 hx 1 81 d isbn 9814383139 subject business economics inv
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The Kelly Capital Growth Investment Criterion: Theory and Practice, ISBN-13: 9789814293495, ISBN-10: 9814293490
Store Search search Title, ISBN and Author The Kelly Capital Growth Investment Criterion: Theory and Practice by Leonard C MacLean Estimated delivery 3-12 business days Format Hardcover Condition Brand New Presents the definitive treatment of fortune s formula or the Kelly capital growth criterion as it is often called. Publisher Description 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
The Kelly Capital Growth Investment Criterion
The Kelly Capital Growth Investment Criterion Reviews
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.
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