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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3)

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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3)

4.85 16,574 ratings · 5,423 reviews
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Overview: 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.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition 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 Latané)"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 TheoriesCompetitive 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-Hoppé)"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 AllocationSurvival 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)"

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Published September 30, 2010
ISBN 8368511
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After spending years working in the corporate world, Leonard C. Maclean finally decided to pursue a lifelong passion for writing. They currently reside in a quiet suburb where they spend most of their time outlining new stories, reading extensively, and occasionally attempting to bake.

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Susan Wright
Susan Wright February 26, 2024
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Betty Martin
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An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Suitable if your reading queue is empty.
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author.
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Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Suitable if your reading queue is empty.
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I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
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A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
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Rebecca Torres September 12, 2024
I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall.
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Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
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Amanda Perez September 05, 2025
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Carol Harris
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Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me.
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
Mark Collins
Mark Collins January 23, 2025
I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
Brian Walker
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Not entirely to my refined tastes. The prose was competent, yet the characters lacked the depth I usually seek. Suitable if your reading queue is empty.
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Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Andrew Wilson
Andrew Wilson January 18, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
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A decent, if standard, experience. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Unlikely to reread, but a reasonable expenditure of time.
Carol Scott
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A decent, if standard, experience. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perfectly average.
Donald Moore
Donald Moore June 20, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
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Matthew Smith May 13, 2025
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
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Gary Adams September 08, 2024
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Linda Sanchez
Linda Sanchez May 19, 2024
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend.
Robert Martin
Robert Martin June 27, 2025
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend.
Robert Garcia
Robert Garcia August 31, 2025
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Joshua Martin
Joshua Martin December 15, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Donald Reyes
Donald Reyes February 04, 2025
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Edward Martin
Edward Martin July 16, 2025
Not entirely to my refined tastes. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars.
Emily Hill
Emily Hill December 27, 2025
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Sandra Mitchell
Sandra Mitchell January 09, 2024
I find myself somewhat conflicted. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Unlikely to reread, but a reasonable expenditure of time.
Sharon Flores
Sharon Flores April 19, 2024
I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Kenneth Rivera
Kenneth Rivera March 08, 2024
Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
Patricia  Parker
Patricia Parker August 25, 2025
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Barbara Clark
Barbara Clark September 09, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Sarah Hall
Sarah Hall December 21, 2024
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Brian Smith
Brian Smith April 03, 2024
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Margaret Roberts
Margaret Roberts June 01, 2025
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Mark Flores
Mark Flores October 03, 2024
A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
William Taylor
William Taylor April 12, 2024
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Ashley Harris
Ashley Harris August 15, 2024
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall.
Kimberly Torres
Kimberly Torres June 03, 2025
A decent, if standard, experience. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perfectly average.
Donald Nguyen
Donald Nguyen April 04, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
George Jones
George Jones May 30, 2025
I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. A fair 3 stars.
Anthony Turner
Anthony Turner April 03, 2024
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Robert Nelson
Robert Nelson October 19, 2024
Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Linda Sanchez
Linda Sanchez September 22, 2025
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
James Green
James Green February 06, 2025
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Anthony Turner
Anthony Turner August 18, 2025
Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Jessica Moore
Jessica Moore July 13, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
Linda Jones
Linda Jones November 25, 2025
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
John Allen
John Allen September 01, 2024
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Sandra Walker
Sandra Walker May 27, 2024
Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Gary Sanchez
Gary Sanchez September 18, 2025
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Melissa Anderson
Melissa Anderson July 10, 2024
It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Unlikely to reread, but a reasonable expenditure of time.
Jessica Hernandez
Jessica Hernandez April 13, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Kenneth Rivera
Kenneth Rivera August 28, 2025
Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Melissa Perez
Melissa Perez December 29, 2024
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Mary Walker
Mary Walker September 18, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
David King
David King October 15, 2024
An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. A fair 3 stars.
Christopher Miller
Christopher Miller September 23, 2024
Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Sandra Torres
Sandra Torres December 23, 2025
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Patricia Flores
Patricia Flores March 11, 2024
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
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