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Good and Bad Properties of the Kelly Criterion

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

Author

Listed:
  • Leonard C. MacLean
  • Edward O. Thorp
  • William T. Ziemba

Abstract

We summarize what we regard as the good and bad properties of the Kelly criterion and its variants. Additional properties are discussed as observations…

Suggested Citation

  • 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..
    • Handle: RePEc:wsi:wschap:9789814293501_0039
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    Cited by:

    1. Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.

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