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KELLY CAPITAL GROWTH INVESTMENT CRITERION, THE: THEORY AND PRACTICE (World Scientific Handbook in Financial Economics) Illustrated Edition
Purchase options and add-ons
- ISBN-109789814383134
- ISBN-13978-9814383134
- EditionIllustrated
- PublisherWorld Scientific Publishing Company
- Publication dateFebruary 21, 2011
- LanguageEnglish
- Dimensions6.6 x 2 x 9.7 inches
- Print length884 pages
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Editorial Reviews
Review
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
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
- Best Sellers Rank: #574,248 in Books (See Top 100 in Books)
- #78 in Game Theory (Books)
- #1,814 in Finance (Books)
- #3,014 in Investing (Books)
- Customer Reviews:
About the authors
Edward O Thorp is widely known as the author of the 1962 Beat the Dealer, which was the first book to prove mathematically that blackjack could be beaten by card counting, and the 1967 Beat the Market, which showed how warrant option markets could be priced and beaten. He is regarded as one of the best hedge fund managers in the world. He is also regarded as the co-inventor of the first wearable computer along with Claude Shannon. Thorp received his PhD from the University of California, Los Angeles in 1958 and worked at MIT from 1959 to 1961. He was a professor of mathematics from 1965 to 1977 and a professor of mathematics and finance from 1977 to 1982 at the University of California, Irvine.
Dr William T Ziemba is a distinguished academic and investment practitioner. Leveraging his academic research, he has been a futures and equity trader and hedge fund and investment manager since 1983. His equity futures fund Alpha Z returned 39% in 2013-2019 and 61% net in the year ending June 2021. His research focuses on asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, hedge fund strategies, risk management, sports and lottery investments and applied stochastic programming.
He is Alumni Professor (Emeritus) of Financial Modeling and Stochastic Optimization in the Sauder School of Business, University of British Columbia where he taught from 1968-2006. Currently, he is the Distinguished Visiting Research Associate, Systemic Risk Centre, London School of Economics.
He has been a consultant to leading financial institutions including the Frank Russell Company, Morgan Stanley, Buchanan Partners, RAB Hedge Funds, Gordon Capital, Matcap, Ketchum Trading and, in the gambling area, to the BC Lotto Corporation, SCA Insurance, Singapore Pools, Canadian Sports Pool, Keeneland Racetrack and some racetrack syndicates in Hong Kong, Manila and Australia. His co-written practitioner paper on the Russell-Yasuda asset-liability model won second prize in the 1993 Edelman Practice of Management Science Competition.
He has been a visiting professor at Cambridge, Oxford, London School of Economics, University of Reading and Warwick in the UK, at Stanford, UCLA, Berkeley, MIT, University of Washington and Chicago in the US, Universities of Bergamo, Venice and Luiss in Italy, the Universities of Zurich, Cyprus, Tsukuba (Japan), KAIST (Korea) and the National University and the National Technological University of Singapore.
He is widely published and cited in the field having works included in journals such as Operations Research, Management Science,, Mathematics of OR, Mathematical Programming, American Economic Review, Journal of Economic Perspectives, Journal of Finance, Journal of Economic Dynamics and Control, JFQA, Quantitative Finance, Journal of Portfolio Management and Journal of Banking and Finance and in many books and special journal issues.
Since 2002, he has been a regular columnist on investment strategies in sports and financial markets for the institutional investor and quantitative finance magazine Wilmott. Many of the columns are available in edited thematic volumes.
Customer reviews
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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.
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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
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
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- Reviewed in the United States on November 29, 2013There 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...
- Reviewed in the United States on January 23, 2019Excellent content that explain the kelly criterion. To those study finance, buy this book.
- Reviewed in the United States on February 9, 2020Various papers that expound the Kelly Criterion and its application to dynamic investing. Not a book for the layman.
- Reviewed in the United States on September 7, 2015Excellent, bought it on Nassim's recommendation, quite tough for me though. Requires mathematical maturity.
- Reviewed in the United States on October 19, 2014Complex but complete, covers fortunes formula from every angle
- Reviewed in the United States on February 10, 2017Ed 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!
- Reviewed in the United States on July 21, 2019This 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, 2017Kindle version appears to be a bad OCR. The mathematical notation makes this problem glaring.
Top reviews from other countries
- Kosa DanielReviewed in Japan on April 10, 2019
5.0 out of 5 stars Looks good
It came on time and looks great!
-
grosjean michelReviewed in France on August 8, 2024
4.0 out of 5 stars Kelly criterion
Collection d articles inegaux concernant le critere de Kelly
- BelaReviewed in Canada on July 6, 2019
5.0 out of 5 stars great book
I think it should be taught in all schools
-
Luciano MoraisReviewed in Brazil on March 10, 2018
5.0 out of 5 stars Excelente
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 sikandarReviewed in India on October 2, 2017
5.0 out of 5 stars Five Stars
Beautiful collection of papers