凯利资本增长投资准则
Kelly Capital Growth Investment Criterion
Leonard C. MacLean、Edward O. Thorp、William T. Ziemba · 初版 2010 年
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Kelly Capital Growth Investment Criterion
Leonard C. MacLean、Edward O. Thorp、William T. Ziemba · 初版 2010 年
正在加载完整评论……
……人们通常所认为的“财富”。只要是能用某种效用衡量且复利起作用的任何东西，它都同样适用。到目前为止我找到的最好的综述是《凯利资本增长投资准则》（The Kelly Capital Growth Investment Criterion）[1]，不幸的是这是一本厚厚的同行评审科学论文集，所以内容极其详尽，数学味也非常浓。[1]: https://www.amazon.com/KELLY-CAPITAL-GROWTH-INVESTMENT-CRITE...
…what people would ordinarily think of as "wealth". It applies just as well to anything you can measure with some sort of utility where compounding makes sense. The best overview I've found so far is The Kelly Capital Growth Investment Criterion[1], which unfortunately is a thick collection of peer-reviewed science, so it's very detailed and heavy on the maths, too. [1]: https://www.amazon.com/KELLY-CAPITAL-GROWTH-INVESTMENT-CRITE...
如果感兴趣的话，有两本书特别棒：一本是《财富公式》（Fortune's Formula），讲述了索普和香农之间更跌宕起伏的故事；另一本是索普、麦克莱恩和威廉合著的《凯利资本增长投资准则》——偏硬核技术路线。我在后一本书里读到了这篇论文，太喜欢了以至于我还去专门搜了单篇的 PDF。看到其中有些内容写得如此平易近人又富有烟火气，真的很受触动……
If interested, two books on this are great: “fortunes formula” for a more riveting story of thorp and Shannon “Kelly capital growth investment criterion” by Thorp, Maclean, William — for the more technical take I found this essay in this second book, and liked it so much I found the standalone pdf. It’s inspiring how approachable and human some of the…
……每种备选项结果的联合概率分布，用它算出 E(log X)，然后挑那个期望值最高的备选项。想要更深入的介绍，我推荐略微硬核的《凯利资本增长投资准则》[3]，这是一本关于凯利准则及其各种应用的高质量论文合集。[1]: https://xkqr.org/insurance/?wealth=0&offered=0 [2]: https://entropicthoughts.com/the-misunderstood-kelly-criteri...…
…joint probability distribution of the outcome for each alternative, evaluate E(log X) using it, and pick the alternative for which it is highest. For a deeper introduction, I recommend the somewhat heavy Kelly Capital Growth Investment Criterion[3] which is a well-curated collection of papers on the Kelly criterion and its various uses. [1]: https://xkqr.org/insurance/?wealth=0&offered=0 [2]: https://entropicthoughts.com/the-misunderstood-kelly-criteri...…
等你读完那个之后，《凯利资本增长投资准则》是我读过的比较好的书之一。但这本读起来难度高得多。
And when you're done with that, the Kelly Capital Growth Investment Criterion is one of the better books I've read. But it's a much more advanced read.
如果你想挖得更深，我建议接着看《凯利资本增长投资准则》。它就是一本关于凯利准则和各种应用的同行评审科学论文合集。读起来非常硬核烧脑，但也是我见过的关于该主题最好的综述。https://www.amazon.com/Kelly-Capital-Growth-Investment-Crite...
And if you want to dig deeper, I'd follow up with The Kelly Capital Growth Investment Criterion. It's just a collection of peer-reviewed science on the Kelly criterion and various applications. Very dense reading, but also the best overview of the subject I've seen. https://www.amazon.com/Kelly-Capital-Growth-Investment-Crite...
……《信息论》展示了凯利赌注与最优消息编码之间一些很有趣的联系。- 21点算牌法的发明者爱德·索普在《凯利资本增长投资准则》里收录了一份很棒的论文集。
…Information Theory" shows some interesting connections between Kelly betting and optimal message encoding. - Ed Thorp, the inventor of card counting, has a nice compendium of papers on this in "The Kelly Capital Growth Investment Criterion".