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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook in Financial Economics, Band 3), by Edward O. Thorp William T. Ziemba
Ebook-Download Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook in Financial Economics, Band 3), by Edward O. Thorp William T. Ziemba
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Pressestimmen
The present handbook assembles in an impressive way the classical papers and also provides the link to modern research. It also presents important papers with a critical view towards the Kelly criterion. Among them figures the famous three-page paper of P. Samuelson from 1979 which is written by using exclusively one-syllable words. -- Professor Walter Schachermayer "Faculty of Mathematics, University of Vienna"For those who have heard of the Kelly mythos and want to explore the science behind it, this book will be an instant classic. The editors have collected all the pivotal original papers, spanning centuries and the rarely bridged gulf between theory and practice. This book is indispensable for anyone interested in Kelly's legacy. -- William Poundstone "Author of "Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street""
Klappentext
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.
Produktinformation
Taschenbuch: 884 Seiten
Verlag: World Scientific Publishing Co Pte Ltd (11. Februar 2011)
Sprache: Englisch
ISBN-10: 9789814383134
ISBN-13: 978-9814383134
ASIN: 9814383139
Größe und/oder Gewicht:
17 x 4,4 x 24,4 cm
Durchschnittliche Kundenbewertung:
Schreiben Sie die erste Bewertung
Amazon Bestseller-Rang:
Nr. 175.550 in Fremdsprachige Bücher (Siehe Top 100 in Fremdsprachige Bücher)
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 order to implement a full Markowitz- style optimization, one needs to know the entire joint probability distribution of all assets for the entire future, plus the exact utility function for wealth at all future times. And without errors! (I have shown that estimation errors make the system explode.)2) Kelly's method (or, rather, Kelly-Thorpe), developed around the same period, which requires no joint distribution or utility function. It is very robust. In practice one needs to estimate the ratio of expected profit to worst- case return-- dynamically adjusted to avoid ruin. In the case of barbell transformations, the worst case is guaranteed (leave 80% or so of your money in reserves). And model error is much, much milder under Kelly criterion. So, assuming one has the edge (as a sole central piece of information), engage in a dynamic strategy of variable betting, getting more conservative after losses ("cut your losses") and more aggressive "with the house's money". The entire focus is the avoidance of gambler's ruin.The first strategy was only embraced by academic financial economists --empty suits without skin in the game -- because you can make an academic career writing BS papers with method 1 much better than with method 2. On the other hand EVERY SURVIVING speculator uses explicitly or implicitly method 2 (evidence: Ray Dalio, Paul Tudor Jones, Renaissance, even Goldman Sachs!) For the first method, think of LTCM and the banking failure.Let me repeat. Method 2 is much, much, much more scientific in the true sense of the word, that is rigorous and applicable. Method 1 is good for "job market papers" . Now this book presents all the major papers for the second line of thinking. It is almost exhaustive; many great thinkers in Information theory and probability (Ed Thorpe, Leo Breiman, T M Cover, Bill Ziemba) are represented... even the original paper by Bernouilli.Buy 2 copies, just in case you lose one. This book has more meat than any other book in decision theory, economics, finance, etc...
Excellent content that explain the kelly criterion. To those study finance, buy this book.
Complex but complete, covers fortunes formula from every angle
Excellent, bought it on Nassim's recommendation, quite tough for me though. Requires mathematical maturity.
Needlessly detailed and does not give the investor a sound opinion or point of view on advantages versus the disadvantages of using and calculating trading capital with the Kelly criterion.
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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook in Financial Economics, Band 3), by Edward O. Thorp William T. Ziemba PDF
Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook in Financial Economics, Band 3), by Edward O. Thorp William T. Ziemba PDF
