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The Kelly Capital Growth Investment Criterion: Theory and Practice

4.19  ·  Rating details ·  47 ratings  ·  3 reviews
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 ...more
ebook, 884 pages
Published February 10th 2011 by World Scientific Publishing Company (first published September 30th 2010)
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Yates Buckley
Jun 26, 2018 rated it liked it
Shelves: unread-skimmed
Extremely technical and relating pure mathematical modeling to market performance without, in my opinion, an adequate discussion about the underlying assumptions that need to be made of the market before you can apply theae techniques.

Happy to note some critical views in the text, but disappointed that “black swans” are just scenarios you should subject your model to. This misses the whole point of what the underlying distribution of data might be, how likely are there black swans, how many, wha
...more
Denis Vasilev
Mar 06, 2019 rated it it was amazing
Полная математических построений книга. Тема - какой размер ставки делать, если шансы в твою пользу. Это не введение для начинающих, а углубление в детали для желающих разобраться в нюансах работы Критерия Келли. Весьма актуально для построения своей инвестиционной стратегии, да и понимания стратегий у умелых игроков
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Complete and excellent.
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