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The Kelly Capital Growth Investment Criterion: Theory and Practice

Leonard C. MacLean, Edward O. Thorp and William T. Ziemba (editors)

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Summary

Leonard MacLean, Edward Thorp and William Ziemba edit a technical collection on the Kelly capital growth criterion. It brings together foundational papers and later work on choosing the size of a stake or allocation when the aim is long run growth.

The contents move from mathematical theory to applications and limits. Sections address uncertainty in estimates, risk constraints, fractional Kelly approaches and drawdowns, so the collection also examines why a theoretical optimum can be difficult to apply.

  • SourceThe Kelly Capital Growth Investment Criterion: Theory and Practice — primary source · World Scientific original title page and complete contents, ETH Library copy; editors and parts on theory, applications, estimation error and risk.

Why read it Our view

Read it only with the mathematics needed to follow the assumptions and proofs. Focus on how estimation error and loss constraints change an allocation argument. The collection is useful for studying the limits of a model; it does not supply a safe allocation or a promised return.

Written about

  • Edward O. ThorpCo-editor and contributor; recommended for mathematical readers
    Thorp co-edited this technical collection with Leonard C. MacLean and William T. Ziemba. In TIP128 he recommends it to readers who want the mathematical treatment. It appears once on his authored-work shelf, rather than twice across shelves.
    Source