The Kelly Capital Growth Investment Criterion
The Kelly Capital Growth Investment Criterion provides the definitive treatment of fortune’s formula or the Kelly capital growth criterion. With various papers that expound the criterion and its application to dynamic investing, it also covers ways to maximize long run wealth by maximizing the period by period expected utility of wealth with a logarithmic utility function. Aside from the Kelly Criterion, this book also suggests that you have to know all parameters about the future and engage in optimized portfolio construction. The Kelly Capital Growth Investment Criterion also features fixed-mix and volatility induced growth strategies, relationships with utility theory and the use of these ideas by great investors.
"For those who have heard of the Kelly mythos and want to explore the science behind it, this book will be an instant classic. The editors have collected all the pivotal original papers, spanning centuries and the rarely bridged gulf between theory and practice. This book is indispensable for anyone interested in Kelly's legacy."
—William Poundstone, Author, Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
"The present handbook assembles in an impressive way the classical papers and also provides the link to modern research. It also presents important papers with a critical view towards the Kelly criterion. Among the figures the famous three-page paper of P. Samuelson from 1979 which is written by using exclusively one-syllable words."
—Professor Walter Schachermayer, Faculty of Mathematics, University of Vienna