Good and Bad Properties of the Kelly Criterion

Leonard C. MacLean, Edward O. Thorp and William T. Ziemba

Chapter 39 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 563-572 from World Scientific Publishing Co. Pte. Ltd.

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…

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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