The Kelly Capital Growth Investment Criterion:Theory and Practice
Editor
- Leonard C MacLean(Dalhousie University, Canada)Edward O Thorp(University of California, Irvine, USA)William T Ziemba(Oxford University, UK & University of British Columbia, Canada)
Abstract
No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), 2011. "The Kelly Capital Growth Investment Criterion:Theory and Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7598, December.
Handle: RePEc:wsi:wsbook:7598
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Book Chapters
The following chapters of this book are listed in IDEAS- Leonard C MacLean & Edward O Thorp & William T Ziemba, 2011. "Introduction to the Early Ideas and Contributions," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 1, pages 3-10, World Scientific Publishing Co. Pte. Ltd..
- Daniel Bernoulli, 2011. "Exposition Of A New Theory On The Measurement Of Risk," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 2, pages 11-24, World Scientific Publishing Co. Pte. Ltd..
- J. L. Kelly Jr., 2011. "A New Interpretation of Information Rate," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 3, pages 25-34, World Scientific Publishing Co. Pte. Ltd..
- Henry Allen Latané, 2011. "Criteria For Choice Among Risky Ventures," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 4, pages 35-46, World Scientific Publishing Co. Pte. Ltd..
- L. Breiman, 2011. "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 5, pages 47-60, World Scientific Publishing Co. Pte. Ltd..
- E. O. Thorp, 2011. "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 6, pages 61-80, World Scientific Publishing Co. Pte. Ltd..
- Edward. O. Thorp, 2011. "Portfolio Choice And The Kelly Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 7, pages 81-90, World Scientific Publishing Co. Pte. Ltd..
- Nils H. Hakansson, 2011. "Optimal Investment And Consumption Strategies Under Risk For A Class Of Utility Functions," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 8, pages 91-111, World Scientific Publishing Co. Pte. Ltd..
- Nils H. Hakansson, 2011. "On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 9, pages 113-123, World Scientific Publishing Co. Pte. Ltd..
- Richard Roll, 2011. "Evidence On The “Growth-Optimum” Model," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 10, pages 125-140, World Scientific Publishing Co. Pte. Ltd..
- Leonard C MacLean & Edward O Thorp & William T Ziemba, 2011. "Introduction to the Classic Papers and Theories," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 11, pages 143-146, World Scientific Publishing Co. Pte. Ltd..
- Robert M. Bell & Thomas M. Cover, 2011. "Competitive Optimality Of Logarithmic Investment," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 12, pages 147-152, World Scientific Publishing Co. Pte. Ltd..
- ANDREW R. BARRON & Thomas M. Cover, 2011. "A Bound on the Financial Value of Information," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 13, pages 153-156, World Scientific Publishing Co. Pte. Ltd..
- Paul H. Algoet & Thomas M. Cover, 2011. "Asymptotic Optimality And Asymptotic Equipartition Properties Of Log-Optimum Investment," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 14, pages 157-179, World Scientific Publishing Co. Pte. Ltd..
- Thomas M. Cover, 2011. "Universal Portfolios," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 15, pages 181-209, World Scientific Publishing Co. Pte. Ltd..
- Erik Ordentlich & Thomas M. Cover, 2011. "The Cost Of Achieving The Best Portfolio In Hindsight," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 16, pages 211-233, World Scientific Publishing Co. Pte. Ltd..
- Mark Finkelstein & Robert Whitley, 2011. "Optimal Strategies For Repeated Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 17, pages 235-248, World Scientific Publishing Co. Pte. Ltd..
- Vijay K. Chopra & William T. Ziemba, 2011. "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 18, pages 249-257, World Scientific Publishing Co. Pte. Ltd..
- Leonard C. Maclean & William T. Ziemba & Yuming Li, 2011. "Time to wealth goals in capital accumulation," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 19, pages 259-271, World Scientific Publishing Co. Pte. Ltd..
- Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2011. "Survival and Evolutionary Stability of the Kelly Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 20, pages 273-284, World Scientific Publishing Co. Pte. Ltd..
- Yingdong Lv & Bernhard K. Meister, 2011. "Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 21, pages 285-297, World Scientific Publishing Co. Pte. Ltd..
- Leonard C MacLean & Edward O Thorp & William T Ziemba, 2011. "Introduction to the Relationship of Kelly Optimization to Asset Allocation," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 22, pages 301-304, World Scientific Publishing Co. Pte. Ltd..
- Sid Browne, 2011. "Survival And Growth With A Liability: Optimal Portfolio Strategies In Continuous Time," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 23, pages 307-332, World Scientific Publishing Co. Pte. Ltd..
- L. C. Maclean & W. T. Ziemba & G. Blazenko, 2011. "Growth Versus Security In Dynamic Investment Analysis," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 24, pages 331-354, World Scientific Publishing Co. Pte. Ltd..
- Leonard C. MacLean & Rafael Sanegre & Yonggan Zhao & William T. Ziemba, 2011. "Capital growth with security," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 25, pages 355-372, World Scientific Publishing Co. Pte. Ltd..
- Sid Browne, 2011. "Risk-Constrained Dynamic Active Portfolio Management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 26, pages 373-384, World Scientific Publishing Co. Pte. Ltd..
- Mark Davis & Sébastien Lleo, 2011. "Fractional Kelly Strategies for Benchmarked Asset Management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 27, pages 385-407, World Scientific Publishing Co. Pte. Ltd..
- Eckhard Platen, 2011. "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426, World Scientific Publishing Co. Pte. Ltd..
- Michael A. H. Dempster & Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2011. "Growing Wealth with Fixed-Mix Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 29, pages 427-455, World Scientific Publishing Co. Pte. Ltd..
- Leonard C MacLean & Edward O Thorp & William T Ziemba, 2011. "Introduction to the Good and Bad Properties of Kelly," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 30, pages 459-464, World Scientific Publishing Co. Pte. Ltd..
- Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
- William T. Ziemba & Raymond G. Vickson, 2011. "Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 32, pages 473-485, World Scientific Publishing Co. Pte. Ltd..
- Paul A. Samuelson, 2011. "The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 33, pages 487-490, World Scientific Publishing Co. Pte. Ltd..
- Paul A. Samuelson, 2011. "Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 34, pages 491-493, World Scientific Publishing Co. Pte. Ltd..
- Harry M. Markowitz, 2011. "Investment for the Long Run: New Evidence for an Old Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 35, pages 495-508, World Scientific Publishing Co. Pte. Ltd..
- Edward O. Thorp, 2011. "Understanding the Kelly Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 36, pages 509-523, World Scientific Publishing Co. Pte. Ltd..
- E. Thorp & R. Whitley, 2011. "Concave Utilities are Distinguished by their Optimal Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 37, pages 525-542, World Scientific Publishing Co. Pte. Ltd..
- Leonard C. MacLean & Edward O. Thorp & Yonggan Zhao & William T. Ziemba, 2011. "Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 38, pages 543-561, World Scientific Publishing Co. Pte. Ltd..
- Leonard C. MacLean & Edward O. Thorp & William T. Ziemba, 2011. "Good and Bad Properties of the Kelly Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 39, pages 563-572, World Scientific Publishing Co. Pte. Ltd..
- Leonard C MacLean & Edward O Thorp & William T Ziemba, 2011. "Introduction to the Utility Foundations of Kelly," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 40, pages 575-576, World Scientific Publishing Co. Pte. Ltd..
- Nils H. Hakansson & William T Ziemba, 2011. "Capital Growth Theory," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 41, pages 577-598, World Scientific Publishing Co. Pte. Ltd..
- David G. Luenberger, 2011. "A preference foundation for log mean–variance criteria in portfolio choice problems," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 42, pages 599-618, World Scientific Publishing Co. Pte. Ltd..
- Michael Stutzer, 2011. "Portfolio choice with endogenous utility: a large deviations approach," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 43, pages 619-640, World Scientific Publishing Co. Pte. Ltd..
- Michael Stutzer, 2011. "On Growth-Optimality vs. Security Against Underperformance," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 44, pages 641-653, World Scientific Publishing Co. Pte. Ltd..
- Leonard C MacLean & Edward O Thorp & William T Ziemba, 2011. "Introduction to the Evidence of the Use of Kelly Type Strategies by the Great Investors and Others," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 45, pages 657-662, World Scientific Publishing Co. Pte. Ltd..
- Donald B. Hausch & William T. Ziemba & Mark Rubinstein, 2011. "Efficiency of the Market for Racetrack Betting," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 46, pages 663-680, World Scientific Publishing Co. Pte. Ltd..
- Donald B. Hausch & William T. Ziemba, 2011. "Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 47, pages 681-694, World Scientific Publishing Co. Pte. Ltd..
- William T. Ziemba & Donald B. Hausch, 2011. "The Dr.Z Betting System in England," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 48, pages 695-702, World Scientific Publishing Co. Pte. Ltd..
- Robert R. Grauer & Nils H. Hakansson, 2011. "A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, with and without Small Stocks," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 49, pages 703-734, World Scientific Publishing Co. Pte. Ltd..
- John M. Mulvey & Mehmet Bilgili & Taha M. Vural, 2011. "A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 50, pages 735-751, World Scientific Publishing Co. Pte. Ltd..
- Markus Rudolf & William T. Ziemba, 2011. "Intertemporal surplus management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 51, pages 753-768, World Scientific Publishing Co. Pte. Ltd..
- William T. Ziemba, 2011. "The Symmetric Downside-Risk Sharpe Ratio," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 52, pages 769-784, World Scientific Publishing Co. Pte. Ltd..
- R. E. S. Ziemba & William T. Ziemba, 2011. "Postscript: The Renaissance Medallion Fund," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 53, pages 785-788, World Scientific Publishing Co. Pte. Ltd..
- Edward O. Thorp, 2011. "The Kelly Criterion in Blackjack Sports Betting, and the Stock Market," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 54, pages 789-832, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula;All these keywords.
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