Cargando…
The Kelly capital growth investment criterion : theory and practice /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, N.J. :
World Scientific,
©2011.
|
| Colección: | World Scientific handbook in financial economic series ;
v. 3. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with es. |
|---|---|
| Descripción Física: | 1 online resource (xxvi, 853 pages) : illustrations, portrait |
| Bibliografía: | Includes bibliographical references and indexes. |
| ISBN: | 9789814293501 9814293504 128314834X 9781283148344 |
| ISSN: | 2010-1732 ; |