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Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

Author

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  • Paul A. Samuelson

Abstract

He who acts in N plays to make his mean log of wealth as big as it can be made will, with odds that go to one as N soars, beat me who acts to meet my own tastes for risk…

Suggested Citation

  • Paul A. Samuelson, 2011. "Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 34, pages 491-493 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814293501_0034
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    Cited by:

    1. Zambrano, Eduardo, 2014. "Subtle price discrimination and surplus extraction under uncertainty," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 153-161.
    2. Andrew B. Abel & N. Gregory Mankiw & Lawrence H. Summers & Richard J. Zeckhauser, 1989. "Assessing Dynamic Efficiency: Theory and Evidence," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 1-19.
    3. John Y. Campbell, 2016. "Restoring Rational Choice: The Challenge of Consumer Financial Regulation," American Economic Review, American Economic Association, vol. 106(5), pages 1-30, May.
    4. Zeckhauser Richard, 2006. "Investing in the Unknown and Unknowable," Capitalism and Society, De Gruyter, vol. 1(2), pages 1-41, September.
    5. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
    6. Kardaras, Constantinos, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
    7. Robert H. Trent & Robert S. Kemp, 1984. "The Writings Of Henry A. Latané: A Compilation And Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 161-174, June.
    8. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455.
    10. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014. "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.
    11. Constantinos Kardaras, 2009. "Num\'{e}raire-invariant preferences in financial modeling," Papers 0903.3736, arXiv.org, revised Nov 2010.
    12. repec:bla:mathfi:v:27:y:2017:i:1:p:68-95 is not listed on IDEAS
    13. Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017. "The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
    14. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
    15. repec:bpj:jqsprt:v:14:y:2018:i:1:p:1-11:n:3 is not listed on IDEAS
    16. Andrei N. Soklakov, 2015. "Why Quantitative Structuring?," Papers 1507.07219, arXiv.org, revised Jun 2017.
    17. Yong, Luo & Bo, Zhu & Yong, Tang, 2013. "Dynamic optimal capital growth with risk constraints," Economic Modelling, Elsevier, vol. 30(C), pages 586-594.
    18. repec:eee:jbfina:v:88:y:2018:i:c:p:241-249 is not listed on IDEAS
    19. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite
      [The Theory of Fair Geometric Returns]
      ," MPRA Paper 87082, University Library of Munich, Germany.
    20. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(2), pages 1-18, June.
    21. Scholz, Peter, 2012. "Size matters! How position sizing determines risk and return of technical timing strategies," CPQF Working Paper Series 31, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).

    More about this item

    Keywords

    Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism
    • P45 - Economic Systems - - Other Economic Systems - - - International Linkages
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling

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