Edited/Translated by: ed. by Leonard C. MacLean et al.
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 run wealth and minimiz...
Publisher: Dev Publishers & Distributors
USD 60.75
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Title: The Kelly capital growth investment criterion: theory and practice
Edited/Translated by: ed. by Leonard C. MacLean et al.
ISBN 13: 9789814383134
ISBN 10: 9814383139
Year: 2018
Language: English
Pages etc.: 884p., 25x16cm.
Binding: Hardbound
Place of publication: New Delhi
Publisher: Dev Publishers & Distributors
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