KELLY CAPITAL GROWTH INVEST CRITER..(V3)

Name: KELLY CAPITAL GROWTH INVEST CRITER..(V3)
Brand: World Scientific
Availability: OutOfStock
Rating: 5 (1 reviews)

By Al Leonard C Maclean Et

0 - Default Title

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 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.

Product details

Binding:: Paperback
Edition:: illustrated
Number of Pages:: 882
Release Date:: 2012-02-10
Publication Date:: 2011-02-11
Publisher:: World Scientific
Languages:: Original: English
ISBN10:: 9814383139
ISBN13:: 9789814383134
GPSR Manufacturer Reference:: [email protected]
Weight:: 1489 g
Height:: 170 cm
Width:: 244 cm
Thickness:: 47 cm

Buy on Amazon

Currently sold out