Introduction to the Utility Foundations of Kelly

Leonard C MacLean, Edward O Thorp and William T Ziemba

Chapter 40 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 575-576 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The criticisms of the Kelly strategy based on utility are general. If preferences are identified with wealth characteristics such as growth and tail values, then there is a utility foundation for Kelly and fractional Kelly strategies…

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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