[PDF.42qh] The Kelly Capital Growth Investment Criterion: Theory and Practice (World Scientific Handbook in Financial Economics)

The Kelly Capital Growth Investment Criterion: Theory and Practice (World Scientific Handbook in Financial Economics)

[PDF.kl24] The Kelly Capital Growth Investment Criterion: Theory and Practice (World Scientific Handbook in Financial Economics)

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 | #85844 in Books |  2011-02-10 | Original language:English | PDF # 1 |  9.61 x1.74 x6.69l,3.25 | File type: PDF | 884 pages

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||113 of 121 people found the following review helpful.| Finally, a compendium of the most rigorous research (gamblers ruin based) on risky decisions|By N N Taleb|There are two methods to consider in a risky strategy.

1) The first is to know all parameters about the future and engage in optimized portfolio construction, a lunacy unless one has a god-like knowledge of the future. Let us call it Markowitz-style. In orde| |"This is a fantastic reference covering the theory and practice of the field beautifully organized and produced. I have already used it and I will refer it to my students and colleagues." -- Professor David G Luenberger, Stanford University | "This

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 ris...

You easily download any file type for your device.The Kelly Capital Growth Investment Criterion: Theory and Practice (World Scientific Handbook in Financial Economics)   |  From World Scientific Publishing Company. A good, fresh read, highly recommended.

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