Cider - Shop now
$51.48 with 21 percent savings
List Price: $65.00
FREE Returns
FREE delivery Tuesday, May 6 to Nashville 37217
Or Prime members get FREE delivery Saturday, May 3.
Only 19 left in stock (more on the way).
$$51.48 () Includes selected options. Includes initial monthly payment and selected options. Details
Price
Subtotal
$$51.48
Subtotal
Initial payment breakdown
Shipping cost, delivery date, and order total (including tax) shown at checkout.
Ships from
Amazon.com
Amazon.com
Ships from
Amazon.com
Sold by
Amazon.com
Amazon.com
Sold by
Amazon.com
Returns
30-day refund/replacement
30-day refund/replacement
This item can be returned in its original condition for a full refund or replacement within 30 days of receipt.
Payment
Secure transaction
Your transaction is secure
We work hard to protect your security and privacy. Our payment security system encrypts your information during transmission. We don’t share your credit card details with third-party sellers, and we don’t sell your information to others. Learn more
Kindle app logo image

Download the free Kindle app and start reading Kindle books instantly on your smartphone, tablet, or computer - no Kindle device required.

Read instantly on your browser with Kindle for Web.

Using your mobile phone camera - scan the code below and download the Kindle app.

QR code to download the Kindle App

Follow the authors

Something went wrong. Please try your request again later.

KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economics) Illustrated Edition

4.4 out of 5 stars 78 ratings

{"desktop_buybox_group_1":[{"displayPrice":"$51.48","priceAmount":51.48,"currencySymbol":"$","integerValue":"51","decimalSeparator":".","fractionalValue":"48","symbolPosition":"left","hasSpace":false,"showFractionalPartIfEmpty":true,"offerListingId":"suusyqPHu55nHfDwa%2FkjlK6lYbQx5QFMaT9V6p7FIbZvTK0YLfX44OOytAg9qzu1idK0p9ylGjw6V3r3gay3TVn5TeCkHSqZmO2h1LbBU6M4G3VpxCYV%2By%2BB4gsKjyYws0yjBGMBmgWyNxbmRFBLCQ%3D%3D","locale":"en-US","buyingOptionType":"NEW","aapiBuyingOptionIndex":0}]}

Purchase options and add-ons

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.
Books with Buzz
Discover the latest buzz-worthy books, from mysteries and romance to humor and nonfiction. Explore more

Frequently bought together

This item: KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economics)
$45.00
Get it May 14 - 15
In stock
Usually ships within 4 to 5 days.
Ships from and sold by Sams-Books.
+
$18.79
Get it as soon as Tuesday, May 6
In Stock
Ships from and sold by Amazon.com.
+
$15.03
Get it as soon as Tuesday, May 6
Only 1 left in stock - order soon.
Sold by World Deals, USA and ships from Amazon Fulfillment.
Total price: $00
To see our price, add these items to your cart.
Details
Added to Cart
Some of these items ship sooner than the others.
Choose items to buy together.

Editorial Reviews

Review

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""

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"

From the Back Cover

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.

Product details

  • ASIN ‏ : ‎ 9814383139
  • Publisher ‏ : ‎ World Scientific Publishing Company; Illustrated edition (February 21, 2011)
  • Language ‏ : ‎ English
  • Paperback ‏ : ‎ 884 pages
  • ISBN-10 ‏ : ‎ 9789814383134
  • ISBN-13 ‏ : ‎ 978-9814383134
  • Item Weight ‏ : ‎ 3.32 pounds
  • Dimensions ‏ : ‎ 6.6 x 2 x 9.7 inches
  • Customer Reviews:
    4.4 out of 5 stars 78 ratings

About the authors

Follow authors to get new release updates, plus improved recommendations.

Customer reviews

4.4 out of 5 stars
78 global ratings

Review this product

Share your thoughts with other customers

Customers say

Customers find the book's content excellent, with one review describing it as almost exhaustive. The book receives positive feedback for its coverage of the Kelly Criterion, with one customer noting it presents all major papers and includes contributions from many great thinkers in information theory and probability.

AI-generated from the text of customer reviews

Select to learn more

3 customers mention "Content quality"3 positive0 negative

Customers find the book's content excellent, with one noting it is almost exhaustive.

"...It is almost exhaustive; many great thinkers in Information theory and probability (Ed Thorpe, Leo Breiman, T M Cover, Bill Ziemba) are represented..." Read more

"Excellent content that explain the kelly criterion. To those study finance, buy this book." Read more

"Excellent, bought it on Nassim's recommendation, quite tough for me though. Requires mathematical maturity." Read more

3 customers mention "Kelly theory"3 positive0 negative

Customers appreciate the book's coverage of the Kelly Criterion, with one customer noting it presents all major papers, while others highlight its rigorous research and contributions from great thinkers in information theory and probability.

"...It is almost exhaustive; many great thinkers in Information theory and probability (Ed Thorpe, Leo Breiman, T M Cover, Bill Ziemba) are represented..." Read more

"Excellent content that explain the kelly criterion. To those study finance, buy this book." Read more

"Various papers that expound the Kelly Criterion and its application to dynamic investing. Not a book for the layman." Read more

Top reviews from the United States

  • Reviewed in the United States on November 29, 2013
    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...
    221 people found this helpful
    Report
  • Reviewed in the United States on January 23, 2019
    Excellent content that explain the kelly criterion. To those study finance, buy this book.
    3 people found this helpful
    Report
  • Reviewed in the United States on February 9, 2020
    Various papers that expound the Kelly Criterion and its application to dynamic investing. Not a book for the layman.
    4 people found this helpful
    Report
  • Reviewed in the United States on September 7, 2015
    Excellent, bought it on Nassim's recommendation, quite tough for me though. Requires mathematical maturity.
    13 people found this helpful
    Report
  • Reviewed in the United States on October 19, 2014
    Complex but complete, covers fortunes formula from every angle
    7 people found this helpful
    Report
  • Reviewed in the United States on February 10, 2017
    Ed Thorp, Leonard Maclean, and William Ziemba wrote a masterpiece here. For me, this is a very important textbook because it captures the importance of position size. What many people in the financial world fail to recognize is the tethered relationship that exists between probability expectations and position size. This book doesn't just show the calculations for the Kelly criterion, but it also provides methods for trying to develop a good expected value for certain types of events and outcomes. If you're a serious investor, you would be crazy to pass on this book. For one reason, Ed Thorp is the living example of why the Efficient Market Hypothesis is false - simply look at his 227 months out of 230 for beating the market and you'll see what I'm talking about... Thank you for sharing this information gentleman!
    23 people found this helpful
    Report
  • Reviewed in the United States on July 21, 2019
    This book consists of research papers in applying Kelly Criterion and building foundation of using it. As Nasim Taleb wrote in his review, you can actually see the thinking behind Edward Thorp, arguably the best hedge fund manager to this day ( on par with Jim Simons from Renaissance Technology). I highly recommend this book to any quants interested in applying Kelly Criterion.
  • Reviewed in the United States on October 21, 2017
    Kindle version appears to be a bad OCR. The mathematical notation makes this problem glaring.
    15 people found this helpful
    Report

Top reviews from other countries

Translate all reviews to English
  • Kosa Daniel
    5.0 out of 5 stars Looks good
    Reviewed in Japan on April 10, 2019
    It came on time and looks great!
  • grosjean michel
    4.0 out of 5 stars Kelly criterion
    Reviewed in France on August 8, 2024
    Collection d articles inegaux concernant le critere de Kelly
    Report
  • Bela
    5.0 out of 5 stars great book
    Reviewed in Canada on July 6, 2019
    I think it should be taught in all schools
  • Luciano Morais
    5.0 out of 5 stars Excelente
    Reviewed in Brazil on March 10, 2018
    Excelente livro para aqueles que buscam um método para alocação de frações do capital, o método de kelly-thorp é uma resposta adequada a essa questão.
  • azim sikandar
    5.0 out of 5 stars Five Stars
    Reviewed in India on October 2, 2017
    Beautiful collection of papers