The Kelly Capital Growth Investment Criterion: Theory and Practice

[Joshua Ulrich]

Has anyone read this book?
http://goo.gl/YPnSU

From the table of contents on Amazon, it looks like it contains the
main historical academic literature behind Kelly (both for and
against) and has some papers that discuss using growth-optimal
strategies for portfolio allocation.

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

[Nicholas Walldorff]

Yes, I am working through the book and using it as a key reference in our model building process.  The article collection is very comprehensive on the subject Kelly capital growth.  Nicholas Walldorff

[BBands]

The authors have enough combined horsepower to make it sort of a must have.... I've  ordered a copy, but it'll be a while before I get to it.

     jab

--
John Bollinger, CFA, CMT
www.BollingerBands.com

If you advance far enough, you arrive at the beginning.

[Brady Preston]

What are some of the arguments against it?

Brady Preston

On Aug 21, 1:34 pm, Joshua Ulrich <josh.m.ulr...@gmail.com> wrote:
> Has anyone read this book?http://goo.gl/YPnSU

[BBands]

The leader of the push-back against maximizing the geometric growth rate is Paul Samuelson. Google will delver more than you wish to know on the subject.

      jab

[RVince]

I would buy it, but I have nearly all of the original papers the book
is comprised of. It's good to understand the history of some of this
stuff, but It's a waste of time for reasons too numerous to go into
here. (These guys are chasing the butterfly around the court, not the
ball) -Ralph Vince