The Kelly Capital Growth Investment Criterion: Theory and Practice by Leonard C. Maclean, William T. Ziemba, Edward O. Thorp

The Kelly Capital Growth Investment Criterion: Theory and Practice

Leonard C. Maclean, William T. Ziemba, Edward O. Thorp

884 pages • first pub 2010 (editions)

nonfiction economics informative slow-paced
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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 weal...

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