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Portfolio Choice And The Kelly Criterion

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

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  • Edward. O. Thorp

Abstract

The following sections are included:IntroductionSamuelson's objections to logarithmic utilityAn outline of the theory of logarithmic utility as applied to portfolio selectionRelation to the Markowitz theory; solution to problems thereinThe theory in action: results for a real institutional portfolioConcluding remarksFOOTNOTESREFERENCES

Suggested Citation

  • 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..
    • Handle: RePEc:wsi:wschap:9789814293501_0007
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    Cited by:

    1. Hans‐Peter Bermin & Magnus Holm, 2021. "Kelly trading and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 987-1006, July.

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