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....

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....

Key Features:Provides a comprehensive treatment of the Kelly capital growth investment criteria - the approach used by many of the world's greatest investors, speculators, and hedge fundsCovers the early ideas dating to Bernoulli's discovery of log utility and the St. Petersburg paradox in...

"This book is a selection of the journal publications of William T Ziemba. Over a span of 50 years, Professor Ziemba contributed to a wide variety of disciplines including Stochastic Programming, Portfolio Theory, Sports Betting, and Risk Management. In his work he collaborated with academics...