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PORTFOLIO CHOICE AND THE KELLY CRITERION

Edward. O. Thorp

Chapter 7 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 81-90 from World Scientific Publishing Co. Pte. Ltd.

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

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
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