Introduction to the Relationship of Kelly Optimization to Asset Allocation

Leonard C MacLean, Edward O Thorp and William T Ziemba

Chapter 22 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 301-304 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The Kelly growth optimum approach is an attractive formula for investing. If the formula is robust and can be adapted to include realistic constraints on investing, then the practicality of the method is clear. The various papers here discuss these issues including liabilities, fractional Kelly, benchmarks, fixed mix strategies, and volatility induced wealth growth…

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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