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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3)

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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economic Series, 3)

4.85 65,975 ratings · 9,427 reviews
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Overview: 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 minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latané)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the “Growth-Optimum-Model” "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hoppé)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

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Published September 30, 2010
ISBN 8368511
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After spending years working in the corporate world, Leonard C. Maclean finally decided to pursue a lifelong passion for writing. They currently reside in a quiet suburb where they spend most of their time outlining new stories, reading extensively, and occasionally attempting to bake.

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Gary Lopez
Gary Lopez April 16, 2025
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
John Anderson
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
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A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
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Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
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Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Linda Brown
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I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Ashley Young
Ashley Young February 08, 2024
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
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Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
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Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me.
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
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A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
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Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
Barbara Edwards
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Matthew Carter
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Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Gary Mitchell
Gary Mitchell November 28, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Daniel Miller
Daniel Miller March 11, 2025
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
Elizabeth Flores
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
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I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
Joshua Thomas
Joshua Thomas May 15, 2024
Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
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A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
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Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Charles Rodriguez
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Linda Brown
Linda Brown January 03, 2024
I find myself somewhat conflicted. Certain acts were fascinating, while others felt like a slight endeavor to complete. Unlikely to reread, but a reasonable expenditure of time.
Ashley Campbell
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Daniel Thomas
Daniel Thomas July 08, 2024
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
Ryan  Davis
Ryan Davis September 11, 2025
I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me.
Sharon Robinson
Sharon Robinson September 27, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Rebecca Brown
Rebecca Brown April 05, 2024
Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
Daniel Harris
Daniel Harris April 09, 2025
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
Robert Edwards
Robert Edwards November 17, 2024
It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perfectly average.
Barbara Flores
Barbara Flores May 30, 2025
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Ryan Phillips
Ryan Phillips June 18, 2024
I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Brian Ramirez
Brian Ramirez July 12, 2025
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Susan Allen
Susan Allen December 26, 2025
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
Joseph Taylor
Joseph Taylor June 25, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Rebecca Ramirez
Rebecca Ramirez May 07, 2024
Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Joshua White
Joshua White December 20, 2024
Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Deborah Sanchez
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A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author.
Ashley Taylor
Ashley Taylor December 12, 2025
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
Steven Baker
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Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
Amanda Rivera
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A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
Amanda Young
Amanda Young May 23, 2024
A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Robert Phillips
Robert Phillips March 15, 2025
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
Michael Martin
Michael Martin March 07, 2025
I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
Karen Wilson
Karen Wilson January 23, 2025
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
Michael Brown
Michael Brown September 24, 2025
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Sarah Jones
Sarah Jones March 25, 2024
Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Anthony Turner
Anthony Turner June 11, 2024
I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Steven Thomas
Steven Thomas April 15, 2024
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Gary Ramirez
Gary Ramirez May 25, 2024
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
James Jones
James Jones September 12, 2024
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Donna Jones
Donna Jones November 11, 2024
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
George Thomas
George Thomas December 11, 2024
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Ryan Gomez
Ryan Gomez September 03, 2024
Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
Edward Young
Edward Young May 19, 2024
Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Robert White
Robert White April 24, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Ryan Gomez
Ryan Gomez March 14, 2025
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Matthew Hall
Matthew Hall October 02, 2025
Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
Sandra Scott
Sandra Scott March 22, 2024
Not entirely to my refined tastes. The prose was competent, yet the characters lacked the depth I usually seek. A fair 3 stars.
Mary Roberts
Mary Roberts September 10, 2025
It was adequate. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars.
Betty Diaz
Betty Diaz June 28, 2025
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
John Harris
John Harris August 26, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
Anthony Young
Anthony Young April 03, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Sandra Allen
Sandra Allen July 11, 2024
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Jessica Taylor
Jessica Taylor October 01, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Elizabeth Flores
Elizabeth Flores July 21, 2025
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Jessica Reyes
Jessica Reyes December 09, 2024
Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall.
Matthew Lopez
Matthew Lopez April 30, 2025
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me.
Laura Hill
Laura Hill February 01, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Sarah Anderson
Sarah Anderson May 17, 2024
It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. A fair 3 stars.
Michael Martin
Michael Martin August 29, 2025
Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
James Carter
James Carter January 04, 2024
I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
Susan Allen
Susan Allen August 03, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Mary Williams
Mary Williams December 13, 2025
A decent, if standard, experience. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty.
Andrew Hernandez
Andrew Hernandez March 06, 2024
A decent, if standard, experience. It verged on repetitive in the second act. A more concise edit would have served it well. A fair 3 stars.
Sharon  Davis
Sharon Davis June 09, 2025
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Robert Edwards
Robert Edwards October 05, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Sandra Hernandez
Sandra Hernandez October 18, 2025
Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Amanda Rivera
Amanda Rivera September 04, 2025
I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Betty Moore
Betty Moore March 25, 2025
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Donald Martinez
Donald Martinez March 31, 2025
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Lisa Rivera
Lisa Rivera April 21, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Ashley Lopez
Ashley Lopez January 03, 2025
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Michelle Moore
Michelle Moore March 30, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Edward Young
Edward Young February 08, 2025
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
Kimberly Walker
Kimberly Walker October 11, 2025
A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
Betty Miller
Betty Miller April 03, 2025
I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
Rebecca Clark
Rebecca Clark May 23, 2025
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
Sharon Young
Sharon Young November 26, 2024
Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Joseph Cruz
Joseph Cruz July 06, 2025
Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
Eric Adams
Eric Adams November 26, 2024
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
James Johnson
James Johnson September 13, 2024
I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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