The Kelly Capital Growth Investment Criterion
The Kelly Capital Growth Investment Criterion
Leonard C. MacLean
Nassim Taleb
Finally, a compendium of the most rigorous research (gamblers ruin based) on risky decisions. - Nassim Taleb
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The Kelly Capital Growth Investment Criterion

Kelly Capital Growth Investment Criterion, The: Theory And Practice

Leonard C. MacLean
By
Leonard C. MacLean
4.2
69
ratings on Goodreads

In "The Kelly Capital Growth Investment Criterion," Leonard C. MacLean explores the mathematical foundation and practical implications of the Kelly criterion, a strategy designed to maximize long-term wealth through calculated risk-taking. This comprehensive volume delves into the heart of dynamic investing, presenting a compelling argument for the use of logarithmic utility functions to achieve unparalleled growth. Through a rigorous examination of mathematical theorems, MacLean demonstrates that the log utility function not only maximizes asymptotic long-term wealth but also minimizes the expected time to reach seemingly unattainable financial goals. While acknowledging the inherent short-term risks, the book illustrates how, over an extended series of bets, a Kelly bettor's wealth significantly outpaces that of those employing alternative strategies, despite the occasional substantial loss. MacLean's work is not just theoretical but rich with practical applications, offering a variety of strategies to mitigate risk without significantly compromising the expected final wealth. The volume brings together classic papers and new research, providing a detailed overview of dynamic investment's good and bad properties, fixed-mix and volatility-induced growth strategies, and the relationship between Kelly optimization and utility theory. It highlights how legendary investors have applied these principles, making "The Kelly Capital Growth Investment Criterion" an indispensable resource for both seasoned and aspiring investors aiming to navigate the complexities of the market with confidence and achieve exponential growth.

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Released
2010
30 Sep
Length
884
Pages

1

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Finally, a compendium of the most rigorous research (gamblers ruin based) on risky decisions. - Nassim Taleb
— Leonard C. MacLean, The Kelly Capital Growth Investment Criterion

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