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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 |
MARC
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| 245 | 0 | 4 | |a The Kelly capital growth investment criterion : |b theory and practice / |c editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba. |
| 260 | |a Singapore ; |a Hackensack, N.J. : |b World Scientific, |c ©2011. | ||
| 300 | |a 1 online resource (xxvi, 853 pages) : |b illustrations, portrait | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a World Scientific handbook in financial economic series, |x 2010-1732 ; |v v. 3 | |
| 504 | |a Includes bibliographical references and indexes. | ||
| 505 | 0 | |a 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. | |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 0 | |a Portfolio management |x Mathematical models. | |
| 650 | 6 | |a Investissements |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion de portefeuille |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Investments |x Mathematical models |2 fast | |
| 650 | 7 | |a Portfolio management |x Mathematical models |2 fast | |
| 700 | 1 | |a MacLean, L. C. |q (Leonard C.) | |
| 700 | 1 | |a Thorp, Edward O. | |
| 700 | 1 | |a Ziemba, W. T. | |
| 776 | 0 | 8 | |i Print version: |t Kelly capital growth investment criterion. |d Singapore ; Hackensack, N.J. : World Scientific, ©2011 |w (DLC) 2010044902 |
| 830 | 0 | |a World Scientific handbook in financial economic series ; |v v. 3. |x 2010-1732 | |
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