World Scientific Kelly Capital Growth Investment Criterion Book - Image 1

£28.50

World Scientific Publishing Company World Scientific Kelly Capital Growth Investment Criterion Book

Name: World Scientific Kelly Capital Growth Investment Criterion Book
Brand: World Scientific Publishing Company
Price: 28.5 GBP
Availability: InStock

black & white line drawings, black & whi

Game Theory

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Description

Master the principles of long-run wealth maximization with this definitive volume on the Kelly capital growth criterion. Part of the World Scientific Handbook in Financial Economics Series, this text explores the mathematical foundations of fortune's formula and its application in financial decision-making. The book explains how to maximize period-by-period expected utility of wealth using a logarithmic utility function. This approach is backed by mathematical theorems proving that log utility is the only method to maximize asymptotic long-run wealth while minimizing the time needed to reach large financial goals. While the strategy involves short-term risk, the mathematical framework demonstrates that as the number of bets increases, a Kelly bettor's wealth tends to grow significantly larger than those using other methods. This is an essential resource for those studying game theory, optimization, and advanced financial economics.

Key Features

Definitive treatment of the Kelly capital growth criterion and fortune's formula for serious study.

Explains the mathematical connection between logarithmic utility functions and maximizing long-run wealth.

Provides theorems regarding the minimization of time required to reach arbitrary large financial goals.

Analyzes the relationship between short-term risk and long-term wealth accumulation in betting strategies.

Part of the professional World Scientific Handbook in Financial Economics Series.

Product Specifications

Brand: World Scientific Publishing Company
Model: black & white line drawings, black & whi
Format: paperback
ASIN: 9814383139
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Optimisation > Game Theory
Domain: Amazon UK
Release Date: 27 March 2012
Listed Since: 01 February 2012

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World Scientific Publishing Company World Scientific Kelly Capital Growth Investment Criterion Book

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