{"product_id":"9789814465816","title":"KELLY CAPITAL GROWTH INVEST CRITER..(V3): Theory and Practice","description":"\u003ciframe\u003e\u003c\/iframe\u003e\u003cp\u003eThis 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.\u003c\/p\u003e\u003cb\u003eContents:\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eThe Early Ideas and Contributions:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction to the Early Ideas and Contributions\u003c\/li\u003e\n\u003cli\u003eExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) \u003ci\u003e(D Bernoulli)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eA New Interpretation of Information Rate \u003ci\u003e(J R Kelly, Jr)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eCriteria for Choice among Risky Ventures \u003ci\u003e(H A Latané)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eOptimal Gambling Systems for Favorable Games \u003ci\u003e(L Breiman)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eOptimal Gambling Systems for Favorable Games \u003ci\u003e(E O Thorp)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003ePortfolio Choice and the Kelly Criterion \u003ci\u003e(E O Thorp)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eOptimal Investment and Consumption Strategies under Risk for a Class of Utility Functions \u003ci\u003e(N H Hakansson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eOn Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields \u003ci\u003e(N H Hakansson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eEvidence on the “Growth-Optimum-Model” \u003ci\u003e(R Roll)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eClassic Papers and Theories:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction to the Classic Papers and Theories\u003c\/li\u003e\n\u003cli\u003eCompetitive Optimality of Logarithmic Investment \u003ci\u003e(R M Bell and T M Cover)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eA Bound on the Financial Value of Information \u003ci\u003e(A R Barron and T M Cover)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eAsymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment \u003ci\u003e(P H Algoet and T M Cover)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eUniversal Portfolios \u003ci\u003e(T M Cover)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eThe Cost of Achieving the Best Portfolio in Hindsight \u003ci\u003e(E Ordentlich and T M Cover)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eOptimal Strategies for Repeated Games \u003ci\u003e(M Finkelstein and R Whitley)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eThe Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice \u003ci\u003e(V K Chopra and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eTime to Wealth Goals in Capital Accumulation \u003ci\u003e(L C MacLean, W T Ziemba, and Y Li)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eSurvival and Evolutionary Stability of Rule the Kelly \u003ci\u003e(I V Evstigneev, T Hens, and K R Schenk-Hoppé)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eApplication of the Kelly Criterion to Ornstein-Uhlenbeck Processes \u003ci\u003e(Y Lv and B K Meister)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eThe Relationship of Kelly Optimization to Asset Allocation:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction to the Relationship of Kelly Optimization to Asset Allocation\u003c\/li\u003e\n\u003cli\u003eSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time \u003ci\u003e(S Browne)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eGrowth versus Security in Dynamic Investment Analysis \u003ci\u003e(L C MacLean, W T Ziemba, and G Blazenko)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eCapital Growth with Security \u003ci\u003e(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eRisk-Constrained Dynamic Active Portfolio Management \u003ci\u003e(S Browne)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eFractional Kelly Strategies for Benchmark Asset Management \u003ci\u003e(M Davis and S Lleo)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eA Benchmark Approach to Investing and Pricing \u003ci\u003e(E Platen)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eGrowing Wealth with Fixed-Mix Strategies \u003ci\u003e(M A H Dempster, I V Evstigneev, and K R Schenk-Hoppé)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eCritics and Assessing the Good and Bad Properties of Kelly:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction to the Good and Bad Properties of Kelly\u003c\/li\u003e\n\u003cli\u003eLifetime Portfolio Selection by Dynamic Stochastic Programming \u003ci\u003e(P A Samuelson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eModels of Optimal Capital Accumulation and Portfolio Selection and the Captial Growth Criterion \u003ci\u003e(W T Ziemba and R G Vickson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eThe “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling \u003ci\u003e(P A Samuelson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eWhy We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long \u003ci\u003e(P A Samuelson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eInvestment for the Long Run: New Evidence for an Old Rule \u003ci\u003e(H M Markowitz)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eUnderstanding the Kelly Criterion \u003ci\u003e(E O Thorp)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eConcave Utilities Are Distinguished by Their Optimal Strategies \u003ci\u003e(E O Thorp and R Whitley)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eMedium Term Simulations of the Full Kelly and Fractional Kelly Strategies Investment \u003ci\u003e(L C MacLean, E O Thorp, Y Zhao, and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eGood and Bad Kelly Properties of the Kelly Criterion \u003ci\u003e(L C MacLean, E O Thorp, and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eUtility Foundations:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction to the Utility Foundations of Kelly\u003c\/li\u003e\n\u003cli\u003eCapital Growth Theory \u003ci\u003e(N H Hakansson and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eA Preference Foundation for Log Mean-Variance Criteria in Portfolio Choice Problems \u003ci\u003e(D G Luenberger)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003ePortfolio Choice with Endogenous Utility: A Large Deviations Approach \u003ci\u003e(M Stutzer)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eOn Growth-Optimality vs. Security against Underperformance \u003ci\u003e(M Stutzer)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eEvidence of the Use of Kelly Type Strategies by the Great Investors and Others:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction to the Evidence of the Use of Kelly Type Strategies by the Great Investors and Others\u003c\/li\u003e\n\u003cli\u003eEfficiency of the Market for Racetrack Betting \u003ci\u003e(D B Hausch, W T Ziemba, and M E Rubinstein)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eTransactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model \u003ci\u003e(D B Hausch and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eThe Dr Z Betting System in England \u003ci\u003e(W T Ziemba and D B Hausch)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eA Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds and Bills, with and without Small Stocks \u003ci\u003e(R R Grauer and N H Hakansson)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eA Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties \u003ci\u003e(J M Mulvey, M Bilgili, and T M Vural)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eIntertemporal Surplus Management \u003ci\u003e(M Rudolf and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eThe Symmetric Downside-Risk Sharpe Ratio and the Evaluation of Great Investors and Speculators \u003ci\u003e(W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003ePostscript: The Renaissance Medallion Fund \u003ci\u003e(R E S Ziemba and W T Ziemba)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003cli\u003eThe Kelly Criterion in Blackjack Sports Betting and the Stock Market \u003ci\u003e(E O Thorp)\u003c\/i\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\u003cbr\u003e\u003cb\u003eReadership:\u003c\/b\u003e Postdoctoral and graduate students, researchers, academics, and professionals interested in betting strategies.\u003cbr\u003e","brand":"World Scientific Publishing Company, Incorporated","offers":[{"title":"Default Title","offer_id":47185624957168,"sku":"9789814465816","price":29.95,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/9789814465816_p0.jpg?v=1763691313","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/9789814465816","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}