The Kelly capital growth investment criterion : theory and practice

The Kelly capital growth investment criterion : theory and practice / editors, Leonard C. MacLean, Edward O. Thorp, William T. Ziemba.

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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Bibliographic Details
Other Authors: MacLean, L. C. (Leonard C.), Thorp, Edward O., Ziemba, W. T.
Format: eBook
Language:English
Published: Singapore ; Hackensack, N.J. : World Scientific, ©2011.
Series:World Scientific handbook in financial economic series ; v. 3.
Subjects:
Investments > Mathematical models.
Portfolio management > Mathematical models.
BUSINESS & ECONOMICS > Finance.
Investments > Mathematical models
Portfolio management > Mathematical models
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