Commentaire :

ISBN 13 : 978-9814383134

Sommaire : Contributors: Leonard C Maclean, Edward O Thorp, William T Ziemba, Daniel Bernoulli, J. L. Kelly, Jr., Henry Allen Latané, L. Breiman, Nils H. Hakansson, Richard Roll, Robert M. Bell, Andrew R. Barron, Thomas M. Cover, Paul H. Algoet, Erik Ordentlich, Mark Finkelstein, Robert Whitley, Vijay K. Chopra, Yuming Li, Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé, Yingdong Lv, Bernhard K. Meister, Sid Browne, G. Blazenko, Rafael Sanegre, Yonggan Zhao, Mark Davis, Sébastien Lleo, Eckhard Platen, Michael A. H. Dempster, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé, Paul A. Samuelson, Raymond G. Vickson, Harry M. Markowitz, R. Whitley, Nils H. Hakansson, David G. Luenberger, Michael Stutzer, Donald B. Hausch, Mark Rubinstein, Donald B. Hausch, Robert R. Grauer, John M. Mulvey, Mehmet Bilgili, Taha M. Vural, Markus Rudolf.


Part I- The Early Ideas and Contributions

1- Introduction to the Early Ideas and Contributions
2- Exposition Of A New Theory On The Measurement Of Risk
3- A New Interpretation of Information Rate
4- Criteria For Choice Among Risky Ventures
5- Optimal Gambling Systems For Favorable Games
6- Optimal Gambling Systems For Favorable Games
7- Portfolio Choice And The Kelly Criterion
8- Optimal Investment And Consumption Strategies Under Risk For A Class Of Utility Functions
9- On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields
10- Evidence On The “Growth-Optimum” Model

Part II- Classic Papers and Theories

11- Introduction to the Classic Papers and Theories
12- Competitive Optimality Of Logarithmic Investment
13- A Bound on the Financial Value of Information
14- Asymptotic Optimality And Asymptotic Equipartition Properties Of Log-Optimum Investment
15- Universal Portfolios
16- The Cost Of Achieving The Best Portfolio In Hindsight
17- Optimal Strategies For Repeated Games
18- The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
19- Time to wealth goals in capital accumulation
20- Survival and Evolutionary Stability of the Kelly Rule
21- Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes

Part III- The Relationship of Kelly Optimization to Asset Allocation

22- Introduction to the Relationship of Kelly Optimization to Asset Allocation
23- Survival And Growth With A Liability- Optimal Portfolio Strategies In Continuous Time
24- Growth Versus Security In Dynamic Investment Analysis
25- Capital growth with security
26- Risk-Constrained Dynamic Active Portfolio Management
27- Fractional Kelly Strategies for Benchmarked Asset Management
28- A Benchmark Approach to Investing and Pricing
29- Growing Wealth with Fixed-Mix Strategies

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

30- Introduction to the Good and Bad Properties of Kelly
31- Lifetime Portfolio Selection by Dynamic Stochastic Programming
32- Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion
33- The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
34- Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long
35- Investment for the Long Run- New Evidence for an Old Rule
36- Understanding the Kelly Criterion
37- Concave Utilities are Distinguished by their Optimal Strategies
38- Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies
39- Good and Bad Properties of the Kelly Criterion

Part V- Utility Foundations

40- Introduction to the Utility Foundations of Kelly
41- Capital Growth Theory
42- A preference foundation for log mean–variance criteria in portfolio choice problems
43- Portfolio choice with endogenous utility- a large deviations approach
44- On Growth-Optimality vs. Security Against Underperformance
45- Introduction to the Evidence of the Use of Kelly Type Strategies by the Great Investors and Others
46- Efficiency of the Market for Racetrack Betting
47- Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model
48- The Dr.Z Betting System in England
49- A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, with and without Small Stocks
50- A Dynamic Portfolio of Investment Strategies- Applying Capital Growth with Drawdown Penalties
51- Intertemporal surplus management
52- The Symmetric Downside-Risk Sharpe Ratio
53- Postscript- The Renaissance Medallion Fund

Nbre volumes : 0

Langue : Anglais

Collection : WORLD SCIENTIFIC HANDBOOK IN FINANCIAL ECONOMICS SERIES

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent