Review Kelly Capital Growth Investment Criterion: Theory and Practice
by LEONARD MACLEAN, EDWARD THORP, and WILLIAM ZIEMBA
A modern take on a classic concept, Kelly Capital Growth Investment Criterion gives a fresh presentation of fortune’s formula. It contains significant papers with a critical view of the Kelly criterion. The integration of theory and practice feature adds value to the already substantial piece.
About the Authors
Leonard MacLean is the focal person at the School of Business Administration of Dalhousie University in Canada. He has explored the research field studying stochastic optimization models in finance and models for repairable systems in aviation.
Edward Thorp rose to popularity upon publishing his classic bestseller, Beat the Dealer, in which he proved that blackjack could be beaten by card counting. He is also one of the celebrated hedge fund managers worldwide and co-inventor of the first wearable computer.
William Ziemba is an affiliate professor at various institutions, including Oxford, Cambridge, and London School of Economics. He also served in different financial firms as a consultant.
Table of Contents
The book covers these topics:
- The Early Ideas and Contributions
- Classic Papers and Theories
- The Relationship of Kelly Optimization to Asset Allocation
- Critics and Assessing the Good and Bad Properties of Kelly
- Utility Foundations
- Evidence of the Use of Kelly Type Strategies by the Great Investors and Others