The Kelly capital growth investment criterion: theory and practice
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. Mathemat...
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2011
|
| Schriftenreihe: | World Scientific handbook in financial economic series
v. 3 |
| Schlagworte: | |
| Online-Zugang: | FHN01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | xxvi, 853 p. ill., ports |
| ISBN: | 9789814293501 |
Internformat
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| 520 | |a 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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Datensatz im Suchindex
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| id | DE-604.BV044637968 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:57:52Z |
| institution | BVB |
| isbn | 9789814293501 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030035940 |
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| physical | xxvi, 853 p. ill., ports |
| psigel | ZDB-124-WOP ZDB-124-WOP FHN_PDA_WOP |
| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | World Scientific Pub. Co. |
| record_format | marc |
| series2 | World Scientific handbook in financial economic series |
| spelling | The Kelly capital growth investment criterion theory and practice editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba Singapore World Scientific Pub. Co. c2011 xxvi, 853 p. ill., ports txt rdacontent c rdamedia cr rdacarrier World Scientific handbook in financial economic series v. 3 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 Investments / Mathematical models Portfolio management / Mathematical models Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 s Portfolio Selection (DE-588)4046834-3 s Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 MacLean, Leonard C. Sonstige (DE-588)170801683 oth Thorp, Edward O. 1932- Sonstige (DE-588)154801674 oth Ziemba, William T. 1941- Sonstige (DE-588)108488713 oth Erscheint auch als Druck-Ausgabe 9789814293495 Erscheint auch als Druck-Ausgabe 9789814293501 Erscheint auch als Druck-Ausgabe 9814293490 Erscheint auch als Druck-Ausgabe 9814293504 http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc Verlag URL des Erstveroeffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | The Kelly capital growth investment criterion theory and practice Investments / Mathematical models Portfolio management / Mathematical models Anlagepolitik (DE-588)4206018-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4206018-7 (DE-588)4017195-4 (DE-588)4046834-3 |
| 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 editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba |
| title_fullStr | The Kelly capital growth investment criterion theory and practice editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba |
| title_full_unstemmed | The Kelly capital growth investment criterion theory and practice editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba |
| 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 | Investments / Mathematical models Portfolio management / Mathematical models Anlagepolitik (DE-588)4206018-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Investments / Mathematical models Portfolio management / Mathematical models Anlagepolitik Finanzmathematik Portfolio Selection |
| url | http://www.worldscientific.com/worldscibooks/10.1142/7598#t=toc |
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