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 maximizing the period by period expected utility of wealth with a logarithmic utility function....

This book discusses many key topics in investment and risk management, the global economic situation and the shift in global investment strategies. It was largely written during the period of 2007-12, one of the most tumultuous times in global financial markets which called into question not...

This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options...

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on...

Key Features:Provides a comprehensive treatment of the Kelly capital growth investment criteria - the approach used by many of the world's greatest investors, speculators, and hedge fundsCovers the early ideas dating to Bernoulli's discovery of log utility and the St. Petersburg paradox in...

Cross-track betting permits bettors to place their local tracks on a race being run at another track. Since each track operates a separate betting pool, the odds can vary across the tracks. The data suggest that the odds vary, and they often vary dramatically, allowing arbitrage opportunities....