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 …

This paper concerns the problem of optimal dynamic choice in discrete time for an investor.
In each period the investor is faced with one or more risky investments. The maximization of …

The main advantage of the Kelly criterion, which maximizes the expected value of the
logarithm of wealth period by period, is that it maximizes the limiting exponential growth rate of …

This paper discusses the allocation of capital over time with several risky assets. The capital
growth log utility approach is used with conditions requiring that specific goals are achieved …

This paper considers the problem of investment of capital in risky assets in a dynamic capital
market in continuous time. The model controls risk, and in particular the risk associated with …

In 1738 Daniel Bernoulli postulated that the marginal utility of an extra amount of money
was proportional to the person’s wealth. So u (w)= where u is the investor’s utility function, …

This paper presents an approach to the problem of optimal dynamic choice in discrete
orcontinuous time where there is a direct tradeoff of growth versus security. In each period,the …

… of financial decision making (in 2 Parts)/edited by Leonard C. MacLean and William T.
Ziemba. … Professor MacLean teaches in the areas of statistics and operations management. …

In capital accumulation under uncertainty, a decision-maker must determine how much capital
to investin riskless and risky investment opportunities over time. The investment strategy …

Using three simple investment situations, we simulate the behavior of the Kelly and fractional
Kelly proportional betting strategies over medium term horizons using a large number of …