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 …

Iron-rich (ferruginous) conditions were a prevalent feature of the ocean throughout much of
Earth's history. The nature of elemental cycling in such settings is poorly understood, however…

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, …

… MacLean and Ziemba [40] have developed a related theory where growth is traded for security
… [41] LC MacLean and WT Ziemba, Expected value versus probability of ruin strategies, in: …

… MacLean has held visiting appointments at Cambridge University, University of Bergamo,
University … Professor MacLean teaches in the areas of statistics and operations management. …

… is to use either ad hoc or scientifically computed (MacLean et al., 2004) fractional Kelly
strategies … The results from solving problem are in MacLean et al., the problems are 2004.) If the …