The Kelly Capital Growth Investment Criterion

The Kelly Capital Growth Investment Criterion

Review The Kelly Capital Growth Investment Criterion: Theory and Practice



Provided with the contributions of three experts in the realms of finance such as Leonard C. Maclean, Edward O. Thorpe, and William T. Ziemba, this book expounds upon the formula of fortune, or what is considered by many as the Kelly Capital Growth Criterion. In basic essence, the initial idea of the strategy is to increase long-term wealth by maximizing the expected utility of wealth with a logarithmic utility function. In this highly-advanced, “The Kelly Capital,” the books may require extended knowledge in finance and mathematical systems in order to be fully understood. It does not stray away from admitting that the Kelly method is indeed a risky move in terms of the short-term either. This scientific handbook is the most complete and in-depth out there revolving around the subject matter.

About the Authors

Edward O Thorp is widely known as the author of the 1962 Beat the Dealer, which was the first book to prove that blackjack could be beaten by card counting, and 1967 Beat the Market, which showed how warrant option markets could be priced and beaten. He is regarded as one of the best hedge fund managers in the world. He is also regarded as the co-inventor of the first wearable computer, along with Claude Shannon. Thorp received his Ph.D. from the University of California, Los Angeles in 1958 and worked at MIT from 1959 to 1961. He was a professor of mathematics from 1965 to 1977 and a professor of mathematics and finance from 1977 to 1982 at the University of California, Irvine.

Leonard MacLean holds a Ph.D. and MA from Dalhousie University and BEd and BA from St. Francis Xavier University. He currently teaches Quantitative Decision Making of MBA and FS students. William Ziemba has over four decades of experience in the field of Finance Research and Stochastic Programming. His insights and researches heavily contributed to Portfolio Theory and Practice. 

Table of Contents

  • Preface
  • List of Contributors
  • Acknowledgments
  • Pictures
    • Part One – The Early Ideas and Contributions
    • Part Two – Classic Papers and Theories
    • Part Three – The Relationship of Kelly Optimization to Asset Allocation
    • Part Four – Critics and Assessing the Good and Bad Properties of Kelly
    • Part Five – Utility Foundations
    • Part Six – Evidence of the Use of Kelly Type Strategies by the Great Investors and Others
  • Bibliography
  • Author Index 
  • Subject Index