Kelly Capital Growth Investment Criterion, The: Theory And Practice (häftad)
Häftad (Paperback / softback)
Antal sidor
World Scientific Publishing Co Pte Ltd
MacLean, Leonard C. (ed.), Thorp, Edward O. (ed.), Ziemba, William T. (ed.)
black & white tables black & white line drawings figures
black & white illustrations, black & white line drawings, black & white tables, figures
254 x 177 x 50 mm
1505 g
Antal komponenter
467:B&W 6.69 x 9.61 in or 244 x 170 mm (Pinched Crown) Perfect Bound on White w/Matte Lam
Kelly Capital Growth Investment Criterion, The: Theory And Practice (häftad)

Kelly Capital Growth Investment Criterion, The: Theory And Practice

Häftad Engelska, 2011-02-11
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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.
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The present handbook assembles in an impressive way the classical papers and also provides the link to modern research. It also presents important papers with a critical view towards the Kelly criterion. Among them figures the famous three-page paper of P. Samuelson from 1979 which is written by using exclusively one-syllable words. -- Professor Walter Schachermayer "Faculty of Mathematics, University of Vienna" For those who have heard of the Kelly mythos and want to explore the science behind it, this book will be an instant classic. The editors have collected all the pivotal original papers, spanning centuries and the rarely bridged gulf between theory and practice. This book is indispensable for anyone interested in Kelly's legacy. -- William Poundstone "Author of "Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street""

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The Early Ideas and Contributions: Introduction to the Early Ideas and Contributions; Exposition 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 Latane); 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 Theories; Competitive 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-Hoppe); 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 Allocation; Survival 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); Risk-Constrained Dynamic Active Portfolio Management (S Browne); Fractional Kelly Strategies for Benchmark Asset Management (M Davis and S Lleo); A Benchmark Approach to Investing and Pricing (E Platen); Growing Wealth with Fixed-Mix Strategies (M A H Dempster, I V Evstigneev, and K R Schenk-Hoppe); Critics and Assessing the Good and Bad Properties of Kelly: Introduction to the Good and Bad Properties of Kelly; Lifetime Portfolio Selection by Dynamic Stochastic Programming (P A Samuelson); Models of Optimal Capital Accumulation and Portfolio Selection and the Captial Growth Criterion (W T Ziemba and R G Vickson); The "Fallacy" of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling (P A Samuelson); Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long (P A Samuelson); Investment for the Long Run: New Evidence for an Old Rule (H M Markowitz); Understanding the Kelly Criterion (E O Thorp); Concave Utilities Are Distinguished by Their Optimal Strategies (E O Thorp and R Whitley); Medium Term Simulations of the Full Kelly and Fractional Kelly Strategies Investment (L C MacLean, E O Thorp, Y Zhao, and W T Ziemba); Good and Bad Kelly Properties of the Kelly Criterion (L C MacLean, E O Thorp, and W T Ziemba); Utility Foundations: Introduction to the Utility Foundations of Kelly; Capital Growth Theory (N H Hakansson and W T Ziemba); A Preference Foundation for Log Mean-Variance Criteria in Portfolio Choice Problems (D G Luenberger); Portfolio Choice with Endogenous Utility: A Large Deviations Approach (M Stutzer); On Growth-Optimality vs. Security against Underperformance (M Stutzer); Evidence of the Use of Kelly Type Strategies by the Great Investors and Others: Introduction to the Evidence of the Use of Kelly Type Strategies by the Great Investors and Others; Efficiency of the Market for Racetrack Betting (D B Hausch, W T Ziemba, and M E Rubinstein); Transac