Understanding the Kelly Criterion
2011; World Scientific; Linguagem: Inglês
10.1142/9789814293501_0036
ISSN2010-1732
Autores Tópico(s)Sports Analytics and Performance
ResumoWorld Scientific Handbook in Financial Economics SeriesThe Kelly Capital Growth Investment Criterion, pp. 509-523 (2011) No Access36: Understanding the Kelly CriterionEdward O. ThorpEdward O. Thorphttps://doi.org/10.1142/9789814293501_0036Cited by:10 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: In January 1961, I spoke at the annual meeting of the American Mathematical Society on "Fortune's Formula: The Game of Blackjack". This announced the discovery of favorable card counting systems for blackjack. My 1962 book Beat the Dealer explained the detailed theory and practice. The 'optimal' way to bet in favorable situations was an important feature. In Beat the Dealer, I called this, naturally enough, "The Kelly gambling system", since I learned about it from the 1956 paper by John L. Kelly (Claude Shannon, who refereed the Kelly paper, brought it to my attention in November of 1960). I have continued to use it successfully in gambling and in investing. Since 1966, I've called it "the Kelly Criterion". The rising tide of theory about and practical use of the Kelly Criterion by several leading money managers received further impetus from William Poundstone's readable book about the Kelly Criterion, Fortune's Formula. (As this title came from that of my 1961 talk, I was asked to approve the use of the title) . At a value investor's conference held in Los Angeles in May, 2007, my son reported that 'everyone' said they were using the Kelly Criterion… FiguresReferencesRelatedDetailsCited By 10Using Support Vector Machine for Option Trading on Settlement DayChih-Yuan Ye and Mu-En Wu26 November 2021Optimal sports betting strategies in practice: an experimental reviewUhrín Matej, Šourek Gustav, Hubáček Ondřej and Železný Filip4 February 2021 | IMA Journal of Management Mathematics, Vol. 32, No. 4Convert index trading to option strategies via LSTM architectureJimmy Ming-Tai Wu, Mu-En Wu, Pang-Jen Hung, Mohammad Mehedi Hassan and Giancarlo Fortino3 October 2020 | Neural Computing and Applications, Vol. 5A counterexample to the Fortune's Formula investing methodMichał Wójtowicz27 February 2018 | Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A. Matemáticas, Vol. 113, No. 2A Novel Approach for Option Trading Based on Kelly CriterionMu-En Wu and Wei-Ho Chung14 February 2018Behaviouralizing Black-Litterman: Expert Opinions and Behavioural Biases in a Diffusion SettingMark Davis and Sebastien Lleo1 Jan 2015 | SSRN Electronic Journal, Vol. 60Diversification Returns, Rebalancing Returns and Volatility PumpingSimon Hayley, Keith Cuthbertson and Nick Motson1 Jan 2013 | SSRN Electronic Journal, Vol. 61Mauling Mr. Market: Valuing Equity Capital of Businesses by Long-Term Value-InvestorsMyuran Rajaratnam, Balakanapathy Rajaratnam and Kanshukan Rajaratnam1 Jan 2012 | SSRN Electronic Journal, Vol. 33Response to Paul a Samuelson Letters and Papers on the Kelly Capital Growth Investment StrategyWilliam T. Ziemba1 Jan 2012 | SSRN Electronic Journal, Vol. 3Murdering Mr. Market: An Equity Valuation and Capital Allocation Model for Long-Term Value-InvestorsMyuran Rajaratnam, Balakanapathy Rajaratnam and Kanshukan Rajaratnam1 Jan 2011 | SSRN Electronic Journal, Vol. 81 The Kelly Capital Growth Investment CriterionMetrics History PDF download
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