The Kelly Capital Growth Investment Criterion
Review The Kelly Capital Growth Investment Criterion
by LEONARD C. MCLEAN, EDWARD O. THORP, WILLIAM T. ZIEMBA
Description
This book serves as a guide that employs a definite method of fortune’s formula, also known as the Kelly capital growth criterion. The main objective of this technique is to extend and multiply investors’ specific wealth through an expansion of wealth’s potential using logarithmic-based utility function. Mathematics proves that log utility function is crucial as it extends long-run wealth, all while decreasing the time to bigger arbitral objectives.
Though this strategy projects a high level of risks and dangers for short-term bettors, those that utilize this kind of method tend to acquire more gains as the bettor volume increases compared to those who use different techniques. Also, note that the Kelly system can rake in a high amount of gains as much as it can lead to mounting profits. However, there are numerous ways on how to manage risks such as expecting a lower financial wealth using fractional Kelly methods. This technique combines bet with cash.
Generally, it was written for anyone who wants to pursue the field, whether it is advanced or novice. This book is an authoritative guide that teaches how to apply theories of dynamic investing to practice. It also presents the negative and positive aspects of the theory, growth strategies, and the relevance of utility theory.
About the Authors
LEONARD MCLEAN holds a Ph.D. and MA from Dalhousie University and BEd and BA from St. Francis Xavier University. He currently teaches Quantitative Decision Making of MBA and FS students, and he has specializations on different research and financial fields, including stochastic models, and repairable frameworks in aviation.
EDWARD O. THORP is an American professor of Mathematics, an author, hedge fund professional, and gambling researcher. He is known for applied probability theory, to which he laudably developed minimal correlations for credible and secured financial profitability.
WILLIAM T. ZIEMBA has over four decades of experience in the field of Finance Research and Stochastic Programming. His insights and researches heavily contributed to Portfolio Theory and Practice.
Table of Contents
Preface
List of Contributors
Acknowledgments
Part 1: The Early Ideas and Contributions
Part 2: Classic Papers and Theories
Part 3: The Relationship of Kelly Optimization to Asset Allocation
Part 4: Critics and Assessing the Good and Bad Properties of Kelly
Part 5: Utility Foundations
Part 6- Evidence of the Use of Kelly Type Strategies by the Great Investors and Others
Bibliography
Author index
Subject Index
