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The Kelly Capital Growth Investment Criterion,


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Table of Contents

The Early Ideas and Contributions: Introduction to the Early Ideas and Contributions; Exposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) (D Bernoulli); A New Interpretation of Information Rate (J R Kelly, Jr); Criteria for Choice among Risky Ventures (H A Latane); Optimal Gambling Systems for Favorable Games (L Breiman); Optimal Gambling Systems for Favorable Games (E O Thorp); Portfolio Choice and the Kelly Criterion (E O Thorp); Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions (N H Hakansson); On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields (N H Hakansson); Evidence on the "Growth-Optimum-Model" (R Roll); Classic Papers and Theories: Introduction to the Classic Papers and Theories; Competitive Optimality of Logarithmic Investment (R M Bell and T M Cover); A Bound on the Financial Value of Information (A R Barron and T M Cover); Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (P H Algoet and T M Cover); Universal Portfolios (T M Cover); The Cost of Achieving the Best Portfolio in Hindsight (E Ordentlich and T M Cover); Optimal Strategies for Repeated Games (M Finkelstein and R Whitley); The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice (V K Chopra and W T Ziemba); Time to Wealth Goals in Capital Accumulation (L C MacLean, W T Ziemba, and Y Li); Survival and Evolutionary Stability of Rule the Kelly (I V Evstigneev, T Hens, and K R Schenk-Hoppe); Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes (Y Lv and B K Meister); The Relationship of Kelly Optimization to Asset Allocation: Introduction to the Relationship of Kelly Optimization to Asset Allocation; Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time (S Browne); Growth versus Security in Dynamic Investment Analysis (L C MacLean, W T Ziemba, and G Blazenko); Capital Growth with Security (L C MacLean, R Sanegre, Y Zhao, and W T Ziemba); Risk-Constrained Dynamic Active Portfolio Management (S Browne); Fractional Kelly Strategies for Benchmark Asset Management (M Davis and S Lleo); A Benchmark Approach to Investing and Pricing (E Platen); Growing Wealth with Fixed-Mix Strategies (M A H Dempster, I V Evstigneev, and K R Schenk-Hoppe); Critics and Assessing the Good and Bad Properties of Kelly: Introduction to the Good and Bad Properties of Kelly; Lifetime Portfolio Selection by Dynamic Stochastic Programming (P A Samuelson); Models of Optimal Capital Accumulation and Portfolio Selection and the Captial Growth Criterion (W T Ziemba and R G Vickson); The "Fallacy" of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling (P A Samuelson); Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long (P A Samuelson); Investment for the Long Run: New Evidence for an Old Rule (H M Markowitz); Understanding the Kelly Criterion (E O Thorp); Concave Utilities Are Distinguished by Their Optimal Strategies (E O Thorp and R Whitley); Medium Term Simulations of the Full Kelly and Fractional Kelly Strategies Investment (L C MacLean, E O Thorp, Y Zhao, and W T Ziemba); Good and Bad Kelly Properties of the Kelly Criterion (L C MacLean, E O Thorp, and W T Ziemba); Utility Foundations: Introduction to the Utility Foundations of Kelly; Capital Growth Theory (N H Hakansson and W T Ziemba); A Preference Foundation for Log Mean-Variance Criteria in Portfolio Choice Problems (D G Luenberger); Portfolio Choice with Endogenous Utility: A Large Deviations Approach (M Stutzer); On Growth-Optimality vs. Security against Underperformance (M Stutzer); Evidence of the Use of Kelly Type Strategies by the Great Investors and Others: Introduction to the Evidence of the Use of Kelly Type Strategies by the Great Investors and Others; Efficiency of the Market for Racetrack Betting (D B Hausch, W T Ziemba, and M E Rubinstein); Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model (D B Hausch and W T Ziemba); The Dr Z Betting System in England (W T Ziemba and D B Hausch); A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds and Bills, with and without Small Stocks (R R Grauer and N H Hakansson); A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties (J M Mulvey, M Bilgili, and T M Vural); Intertemporal Surplus Management (M Rudolf and W T Ziemba); The Symmetric Downside-Risk Sharpe Ratio and the Evaluation of Great Investors and Speculators (W T Ziemba); Postscript: The Renaissance Medallion Fund (R E S Ziemba and W T Ziemba); The Kelly Criterion in Blackjack Sports Betting and the Stock Market (E O Thorp).


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"

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