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The Kelly Capital Growth Investment Criterion:Theory and Practice
Edited by Leonard C MacLean,
Edward O Thorp and
William T Ziemba
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Keywords: Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula (search for similar items in EconPapers)
Date: 2011
ISBN: 9789814293495
References: Add references at CitEc
Citations:
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https://www.worldscientific.com/worldscibooks/10.1142/7598 (text/html)
Ebook Access is available upon purchase
Chapters in this book: - Ch 1 Introduction to the Early Ideas and Contributions , pp 3-10
- Leonard C MacLean, Edward O Thorp and William T Ziemba
- Ch 2 EXPOSITION OF A NEW THEORY ON THE MEASUREMENT OF RISK , pp 11-24
- Daniel Bernoulli
- Ch 3 A New Interpretation of Information Rate , pp 25-34
- J. L. Kelly
- Ch 4 CRITERIA FOR CHOICE AMONG RISKY VENTURES , pp 35-46
- Henry Allen Latané
- Ch 5 OPTIMAL GAMBLING SYSTEMS FOR FAVORABLE GAMES , pp 47-60
- L. Breiman
- Ch 6 OPTIMAL GAMBLING SYSTEMS FOR FAVORABLE GAMES , pp 61-80
- E. O. Thorp
- Ch 7 PORTFOLIO CHOICE AND THE KELLY CRITERION , pp 81-90
- Edward. O. Thorp
- Ch 8 OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS , pp 91-111
- Nils H. Hakansson
- Ch 9 ON OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS , pp 113-123
- Nils H. Hakansson
- Ch 10 EVIDENCE ON THE “GROWTH-OPTIMUM” MODEL , pp 125-140
- Richard Roll
- Ch 11 Introduction to the Classic Papers and Theories , pp 143-146
- Leonard C MacLean, Edward O Thorp and William T Ziemba
- Ch 12 COMPETITIVE OPTIMALITY OF LOGARITHMIC INVESTMENT , pp 147-152
- Robert M. Bell and Thomas M. Cover
- Ch 13 A Bound on the Financial Value of Information , pp 153-156
- Andrew R. Barron and Thomas M. Cover
- Ch 14 ASYMPTOTIC OPTIMALITY AND ASYMPTOTIC EQUIPARTITION PROPERTIES OF LOG-OPTIMUM INVESTMENT , pp 157-179
- Paul H. Algoet and Thomas M. Cover
- Ch 15 UNIVERSAL PORTFOLIOS , pp 181-209
- Thomas M. Cover
- Ch 16 THE COST OF ACHIEVING THE BEST PORTFOLIO IN HINDSIGHT , pp 211-233
- Erik Ordentlich and Thomas M. Cover
- Ch 17 OPTIMAL STRATEGIES FOR REPEATED GAMES , pp 235-248
- Mark Finkelstein and Robert Whitley
- Ch 18 The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice , pp 249-257
- Vijay K. Chopra and William T. Ziemba
- Ch 19 Time to wealth goals in capital accumulation , pp 259-271
- Leonard C. Maclean, William T. Ziemba and Yuming Li
- Ch 20 Survival and Evolutionary Stability of the Kelly Rule , pp 273-284
- Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
- Ch 21 Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes , pp 285-297
- Yingdong Lv and Bernhard K. Meister
- Ch 22 Introduction to the Relationship of Kelly Optimization to Asset Allocation , pp 301-304
- Leonard C MacLean, Edward O Thorp and William T Ziemba
- Ch 23 SURVIVAL AND GROWTH WITH A LIABILITY: OPTIMAL PORTFOLIO STRATEGIES IN CONTINUOUS TIME , pp 307-332
- Sid Browne
- Ch 24 GROWTH VERSUS SECURITY IN DYNAMIC INVESTMENT ANALYSIS , pp 331-354
- L. C. Maclean, W. T. Ziemba and G. Blazenko
- Ch 25 Capital growth with security , pp 355-372
- Leonard C. MacLean, Rafael Sanegre, Yonggan Zhao and William T. Ziemba
- Ch 26 Risk-Constrained Dynamic Active Portfolio Management , pp 373-384
- Sid Browne
- Ch 27 Fractional Kelly Strategies for Benchmarked Asset Management , pp 385-407
- Mark Davis and Sebastien Lleo
- Ch 28 A Benchmark Approach to Investing and Pricing , pp 409-426
- Eckhard Platen
- Ch 29 Growing Wealth with Fixed-Mix Strategies , pp 427-455
- Michael A. H. Dempster, Igor V. Evstigneev and Klaus Schenk-Hoppé
- Ch 30 Introduction to the Good and Bad Properties of Kelly , pp 459-464
- Leonard C MacLean, Edward O Thorp and William T Ziemba
- Ch 31 Lifetime Portfolio Selection by Dynamic Stochastic Programming , pp 465-472
- Paul Samuelson
- Ch 32 Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion , pp 473-485
- William T. Ziemba and Raymond G. Vickson
- Ch 33 The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling , pp 487-490
- Paul Samuelson
- Ch 34 Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long , pp 491-493
- Paul Samuelson
- Ch 35 Investment for the Long Run: New Evidence for an Old Rule , pp 495-508
- Harry Markowitz
- Ch 36 Understanding the Kelly Criterion , pp 509-523
- Edward O. Thorp
- Ch 37 Concave Utilities are Distinguished by their Optimal Strategies , pp 525-542
- E. Thorp and R. Whitley
- Ch 38 Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies , pp 543-561
- Leonard C. MacLean, Edward O. Thorp, Yonggan Zhao and William T. Ziemba
- Ch 39 Good and Bad Properties of the Kelly Criterion , pp 563-572
- Leonard C. MacLean, Edward O. Thorp and William T. Ziemba
- Ch 40 Introduction to the Utility Foundations of Kelly , pp 575-576
- Leonard C MacLean, Edward O Thorp and William T Ziemba
- Ch 41 Capital Growth Theory , pp 577-598
- Nils H. Hakansson and William T Ziemba
- Ch 42 A preference foundation for log mean–variance criteria in portfolio choice problems , pp 599-618
- David G. Luenberger
- Ch 43 Portfolio choice with endogenous utility: a large deviations approach , pp 619-640
- Michael Stutzer
- Ch 44 On Growth-Optimality vs. Security Against Underperformance , pp 641-653
- Michael Stutzer
- Ch 45 Introduction to the Evidence of the Use of Kelly Type Strategies by the Great Investors and Others , pp 657-662
- Leonard C MacLean, Edward O Thorp and William T Ziemba
- Ch 46 Efficiency of the Market for Racetrack Betting , pp 663-680
- Donald B. Hausch, William T. Ziemba and Mark Rubinstein
- Ch 47 Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model , pp 681-694
- Donald B. Hausch and William T. Ziemba
- Ch 48 The Dr.Z Betting System in England , pp 695-702
- William T. Ziemba and Donald B. Hausch
- Ch 49 A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, with and without Small Stocks , pp 703-734
- Robert R. Grauer and Nils H. Hakansson
- Ch 50 A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties , pp 735-751
- John M. Mulvey, Mehmet Bilgili and Taha M. Vural
- Ch 51 Intertemporal surplus management , pp 753-768
- Markus Rudolf and William T. Ziemba
- Ch 52 The Symmetric Downside-Risk Sharpe Ratio , pp 769-784
- William T. Ziemba
- Ch 53 Postscript: The Renaissance Medallion Fund , pp 785-788
- R. E. S. Ziemba and William T. Ziemba
- Ch 54 The Kelly Criterion in Blackjack Sports Betting, and the Stock Market , pp 789-832
- Edward O. Thorp
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