The Kelly Capital Growth Investment Criterion

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Review The Kelly Capital Growth Investment Criterion: Theory and Practice



This book contains the definitive treatment of fortune’s formula, also known as the Kelly capital growth criterion. This strategy aims to amplify long-run wealth by maximizing period by the period expected utility with a logarithmic utility function. Generally, the strategy can be risky when used short-term, but when the number of bets is increased, the bettor’s wealth can be bigger in comparison to using other strategies. 

This book is encouraged to graduate and postdoctoral students, academics, and researchers. Aside from that, it is also recommended to professional traders interested in betting strategies. With that in mind, the book has many jargons and technical concepts that would need prior knowledge in order to be understood. This book is not for the common readers, though the book already indicates that. 

On the good side, this book expounds on the strategy Kelly Criterion as it is applied to investing. The book is divided into six parts and subdivided into chapters, allowing the reader to pick a particular topic they want. Many chapters are discussing various topics, which assures that the Kelly Criterion is discussed here very well.

About the Author

LEONARD C. MACLEAN is Professor Emeritus of Rowe School of Business at Dalhousie University. He has written various publications and has been awarded the Rowe Business School Researcher of the Year Award in 2014. He received his MA and Ph.D. from Dalhousie University.

EDWARD O. THORP is most popular in the finance industry in his book Beat the Dealer, published in 1962. It was the first book to prove that blackjack can be beaten through card counting mathematically. He is regarded as among the best hedge fund managers globally. 

WILLIAM T. ZIEMBA is Alumni Professor of Financial Modeling and Stochastic Optimization and Professor Emeritus of the Sauder School of Business at the University of British Columbia from 1968-2004. He earned his Ph.D. from the University of California, Berkeley. 

Table of Contents


List of Contributors



Part I: The Early Ideas and Contributions

Part II: Classic Papers and Theories

Part III: The Relationship of Kelly Optimization to Asset Allocation

Part IV: Critics and Assessing the Good and Bad Properties of Kelly

Part V: Utility Foundations

Part VI: Evidence of the Use of Kelly Type Strategies by the Great Investors and Others


Author Index

Subject Index