The Kelly capital growth investment criterion : theory and practice /

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This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathemat...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: MacLean, L. C. (Leonard C.), Thorp, Edward O., Ziemba, W. T.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore ; Hackensack, N.J. : World Scientific, ©2011.
Colección:World Scientific handbook in financial economic series ; v. 3.
Temas:
Investments > Mathematical models.
Portfolio management > Mathematical models.
Investissements > Modèles mathématiques.
Gestion de portefeuille > Modèles mathématiques.
BUSINESS & ECONOMICS > Finance.
Investments > Mathematical models
Portfolio management > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • pt. 1. The early ideas and contributions
  • pt. 2. Classic papers and theories
  • pt. 3. The relationship of Kelly optimization to asset allocation
  • pt. 4. Critics and assessing the good and bad properties of Kelly
  • pt. 5. Utility foundations
  • pt. 6. Evidence of the use of Kelly type strategies by the great investors and others.

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