The Kelly capital growth investment criterion: theory and practice
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Singapore [u.a.]
World Scientific Publ.
2012
|
| Schriftenreihe: | World Scientific handbook in financial economics series
3 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Serientitel angegeben als 'World Scientific Handbook in financial economic series' Literaturangaben. - Literaturverz. S. 835 - 839 |
| Beschreibung: | XXVI, 855 S. Ill., graph. Darst. |
| ISBN: | 9789814293495 9789814383134 9814293490 9814383139 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804152177849008128 |
|---|---|
| adam_text | Titel: The Kelly capital growth investment criterion
Autor: MacLean, L. C
Jahr: 2012
Contents
Preface xv
List of Contributors xvii
Acknowledgements xxi
Pictures xxv
Part I: The Early Ideas and Contributions
1. Introduction to the Early Ideas and Contributions 3
2. Exposition of a New Theory on the Measurement of Risk 11
(translated by Louise Sommer)
D. Bernoulli
Econometrica, 22, 23-36 (1954)
3. A New Interpretation of Information Rate 25
J. L. Kelly, Jr.
Bell System Technical Journal, 35, 917-926 (1956)
4. Criteria for Choice among Risky Ventures 35
H. A. Latane
Journal of Political Economy, 67, 144-155 (1959)
5. Optimal Gambling Systems for Favorable Games 47
L. Breiman
Proceedings of the 4th Berkeley Symposium on
Mathematical Statistics and Probability, 1, 65-78 (1961)
6. Optimal Gambling Systems for Favorable Games 61
E. 0. Thorp
Review of the fnternational Statistical fnstitute, 37(3),
273-293 (1969)
7. Portfolio Choice and the Kelly Criterion 83
E. O. Thorp
Proceedings of the Business and Economics Section of
the American Statistical Association, 215-224 (1971)
8. Optimal Investment and Consumption Strategies under Risk 93
for a Class of Utility Functions
N. H. Hakansson
Econometrica, 38, 587-607 (1970)
9. On Optimal Myopic Portfolio Policies, with and without 115
Serial Correlation of Yields
N. H. Hakansson
Journal of Business, 44, 324-334 (1971)
10. Evidence on the Growth-Optimum Model 127
R. Roll
The Journal of Finance, 28(3), 551-566 (1973)
Part II: Classic Papers and Theories
11. Introduction to the Classic Papers and Theories 145
12. Competitive Optimality of Logarithmic Investment 149
R. M. Bell and T. M. Cover
Mathematics of Operations Research, 5(2),
161-166 (1980)
13. A Bound on the Financial Value of Information 155
A. R. Barron and T. M. Cover
TEEE Transactions of fnformation Theory, 34(5),
1097-1100 (1988)
14. Asymptotic Optimality and Asymptotic Equipartition 159
Properties of Log-Optimum Investment
P. H. Algoet and T. M. Cover
Annals of Probability, 16(2), 876-898 (1988)
15. Universal Portfolios 183
T. M. Cover
Mathematical Finance, 1(1), 1-29 (1991)
16. The Cost of Achieving the Best Portfolio in Hindsight 213
E. Ordentlich and T. M. Cover
Mathematics of Operations Research, 23(4),
960-982 (1998)
17. Optimal Strategies for Repeated Games 237
M. Finkelstein and R. Whitley
Advanced Applied Probability, 13, 415-428 (1981)
18. The Effect of Errors in Means, Variances and Covariances 251
on Optimal Portfolio Choice
V. K. Chopra and W. T. Ziemba
Journal of Portfolio Management, 19, 53-61 (1993)
19. Time to Wealth Goals in Capital Accumulation 261
L. C. MacLean, W. T. Ziemba, and Y. Li
Quantitative Finance, 5(4), 343-355 (2005)
20. Survival and Evolutionary Stability of the Kelly Rule 275
I. V. Evstigneev, T. Hens, and K. R. Schenk-Hoppe
(2009)
21. Application of the Kelly Criterion to Ornstein-Uhlenbeck 287
Processes
Y. Lv and B. K. Meister
Lecture Notes of the fnstitute for Computer Sciences, 4,
1051-1062 (2009)
Part III: The Relationship of Kelly Optimization to
Asset Allocation
22. Introduction to the Relationship of Kelly Optimization to 303
Asset Allocation
23. Survival and Growth with a Liability: Optimal Portfolio 307
Strategies in Continuous Time
S. Browne
Mathematics of Operations Research, 22(2), 468-493
(1997)
24. Growth versus Security in Dynamic Investment Analysis 333
L. C. MacLean, W. T. Ziemba, and G. Blazenko
Management Science, 38(11), 1562-1585 (1992)
25. Capital Growth with Security 357
L. C. MacLean, R. Sanegre, Y. Zhao, and W. T. Ziemba
Journal of Economic Dynamics and Control, 28,
937-954 (2004)
26. Risk-Constrained Dynamic Active Portfolio Management 375
S. Browne
Management Science, 46(9), 1188-1199 (2000)
27. Fractional Kelly Strategies for Benchmarked Asset Management 387
M. Davis and S. Lleo (2010)
28. A Benchmark Approach to Investing and Pricing 411
E. Platen (2010)
29. Growing Wealth with Fixed-Mix Strategies 429
M. A. H. Dempster, I. V. Evstigneev, and
K. R. Schenk-Hoppe (2009)
Part IV: Critics and Assessing the Good and Bad
Properties of Kelly
30. Introduction to the Good and Bad Properties of Kelly 461
31. Lifetime Portfolio Selection by Dynamic Stochastic 467
Programming
P. A. Samuelson
Review of Economics and Statistics, 51, 239-246 (1969)
32. Models of Optimal Capital Accumulation and Portfolio 475
Selection and the Captial Growth Criterion
W. T. Ziemba and R. G. Vickson (2010)
33. The Fallacy of Maximizing the Geometric Mean in Long 489
Sequences of Investing or Gambling
P. A. Samuelson
Proceedings of the National Academy of Science, 68(10),
2493-2496 (1971)
34. Why We Should Not Make Mean Log of Wealth Big Though 493
Years to Act are Long
P. A. Samuelson
Journal of Banking and Finance, 3, 305-307 (1979)
35. Investment for the Long Run: New Evidence for an Old Rule 497
H. M. Markowitz
Journal of Finance, 31(5), 1273-1286 (1976)
36. Understanding the Kelly Criterion 511
E. O. Thorp
Wilmott, May and September (2008)
37. Concave Utilities are Distinguished by Their 527
Optimal Strategies
E. Thorp and R. Whitley
Colloquia Mathematica Societatis Jdnos Bolyai,
813-830 (1972)
38. Medium Term Simulations of the Full Kelly and 545
Fractional Kelly Strategies Investment
L. C. MacLean, E. O. Thorp, Y. Zhao, and
W. T. Ziemba (2010)
39. Good and Bad Properties of the Kelly Criterion 565
L. C. MacLean, E. O. Thorp, and W. T. Ziemba (2010)
Part V: Utility Foundations
40. Introduction to the Utility Foundations of Kelly 577
41. Capital Growth Theory 579
N. H. Hakansson and W. T. Ziemba
In R. A. Jarrow, V. Maksimovic, and W. T. Ziemba
(Eds.), Handbooks in OR MS, Volume 9,
65-86. North Holland (1995)
42. A Preference Foundation for Log Mean-Variance Criteria in 601
Portfolio Choice Problems
D. G. Luenberger
Journal of Economic Dynamics and Control, 17,
887-906 (1993)
43. Portfolio Choice with Endogenous Utility: A Large 621
Deviations Approach
M. Stutzer
Journal of Econometrics, 116, 365-386 (2003)
44. On Growth-Optimality vs. Security Against Underperformance 643
M. Stutzer (2010)
Part VI: Evidence of the Use of Kelly Type Strategies by the
Great Investors and Others
45. Introduction to the Evidence of the Use of Kelly Type 659
Strategies by the Great Investors and Others
46. Efficiency of the Market for Racetrack Betting 665
D. B. Hausch, W. T. Ziemba, and M. Rubinstein
Management Science, 27, 373-390 (1981)
47. Transactions Costs, Extent of Inefficiencies, Entries and 683
Multiple Wagers in a Racetrack Betting Model
D. B. Hausch and W. T. Ziemba
Management Science, 31, 391-404 (1985)
48. The Dr. Z Betting System in England 697
W. T. Ziemba and D. B. Hausch
In D. B. Hausch, V. Lo, and W. T. Ziemba (Eds.),
Efficiency of Racetrack Betting Markets, 567-574.
World Scientific (2008)
49. A Half Century of Returns on Levered and Unlevered Portfolios 705
of Stocks, Bonds and Bills, with and without Small Stocks
R. R. Grauer and N. H. Hakansson
Journal of Business, 59(2), 287-318 (1986)
50. A Dynamic Portfolio of Investment Strategies: Applying 737
Capital Growth with Drawdown Penalties
J. M. Mulvey, M. Bilgili, and T. M. Vural (2010)
51. Intertemporal Surplus Management 755
M. Rudolf and W. T. Ziemba
Journal of Economic Dynamics and Control, 28,
975-990 (2004)
52. The Symmetric Downside-Risk Sharpe Ratio and the 771
Evaluation of Great Investors and Speculators
W. T. Ziemba
Journal of Portfolio Management, 32(1), 108-122
(2005)
53. Postscript: The Renaissance Medallion Fund 787
R. E. S. Ziemba and W. T. Ziemba
In Scenarios for Risk Management and Global
Investment Strategies, 295-298. Wiley (2007)
54. The Kelly Criterion in Blackjack Sports Betting, and the 791
Stock Market
E. O. Thorp
In S. A. Zenios and W. T. Ziemba (Eds.),
Handbook of Asset and Liability Management,
Volume 1, 385-428. Elsevier (2006)
Bibliography 835
Author Index 841
Subject Index 845
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| spelling | The Kelly capital growth investment criterion theory and practice eds. Leonard C. MacLean ... Singapore [u.a.] World Scientific Publ. 2012 XXVI, 855 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier World Scientific handbook in financial economics series 3 Serientitel angegeben als 'World Scientific Handbook in financial economic series' Literaturangaben. - Literaturverz. S. 835 - 839 Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Investments--Mathematical models. Anlagepolitik (DE-588)4206018-7 s Portfolio Selection (DE-588)4046834-3 s Finanzmathematik (DE-588)4017195-4 s DE-604 MacLean, Leonard C. Sonstige (DE-588)170801683 oth Erscheint auch als Online-Ausgabe 978-981-4293-50-1 Erscheint auch als Online-Ausgabe 981-4293-50-4 World Scientific handbook in financial economics series 3 (DE-604)BV045507878 3 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027282506&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The Kelly capital growth investment criterion theory and practice World Scientific handbook in financial economics series Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4046834-3 (DE-588)4206018-7 |
| title | The Kelly capital growth investment criterion theory and practice |
| title_auth | The Kelly capital growth investment criterion theory and practice |
| title_exact_search | The Kelly capital growth investment criterion theory and practice |
| title_full | The Kelly capital growth investment criterion theory and practice eds. Leonard C. MacLean ... |
| title_fullStr | The Kelly capital growth investment criterion theory and practice eds. Leonard C. MacLean ... |
| title_full_unstemmed | The Kelly capital growth investment criterion theory and practice eds. Leonard C. MacLean ... |
| title_short | The Kelly capital growth investment criterion |
| title_sort | the kelly capital growth investment criterion theory and practice |
| title_sub | theory and practice |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| topic_facet | Finanzmathematik Portfolio Selection Anlagepolitik |
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