Fortune's Formula - William Poundstone

[Liberty]

[amazonsearch]Fortune's Formula - William Poundstone[/amazonsearch]

 

More background here:

 

http://www.cornerofberkshireandfairfax.ca/forum/index.php?topic=4953.0

 

[berkshiremystery]

There are currently only two major books about the Kelly Criterion on the market that I am aware of.

 

http://img825.imageshack.us/img825/3160/fortunesformula.jpghttp://cache0.bookdepository.co.uk/assets/images/book/medium/9789/8142/9789814293495.jpg

 

 

1) "Fortune's Formula"  by William Poundstone

2) "The Kelly Capital Growth Investment Criterion" by Leonard C. MacLean, Edward O. Thorp and William T. Ziemba

 

 

 

Fortune's Formula, written by William Poundstone is the easier read. The second book, "The Kelly Capital Growth Investment Criterion", that got just recently published is a much bigger workload to read. I would compare this duo of books with the twin sets of Graham's "The Intelligent Investor" and "Security Analysis". Whereby the "Intelligent Investor" is a easier read for the novice investor, and "Security Analysis" for the more advanced financial reader. The two available Kelly books should also be read in the same order, Poundstones book for the starter as an appetizer and William Ziemba's book as the main and advanced course.

 

Fortune's Formula - web site for the book

http://www.fortunesformula.com/

 

 

William Poundstone's - homepage

http://home.williampoundstone.net/

Kelly explained @ William Poundstone's  homepage

http://home.williampoundstone.net/Kelly/Kelly.html

 

William Poundstone's page @ Amazon

http://www.amazon.com/William-Poundstone/e/B000APFI2K/ref=ntt_athr_dp_pel_1

 

[Liberty]

I've been meaning to ask about the MacLean book. Do you think it's a good buy for someone without a math background? It's kind of expensive, and I'm a bit afraid of getting a math textbook that I mostly won't understand.

 

Security Analysis is indeed drier and more complex than Intelligent Investor, but I can understand it just fine. Is it the same with Kelly Capital Growth or is it a lot more like a statistical journal paper that is 800 pages long? Thanks.

[berkshiremystery]

I've been meaning to ask about the MacLean book. Do you think it's a good buy for someone without a math background? It's kind of expensive, and I'm a bit afraid of getting a math textbook that I mostly won't understand.

 

Security Analysis is indeed drier and more complex than Intelligent Investor, but I can understand it just fine. Is it the same with Kelly Capital Growth or is it a lot more like a statistical journal paper that is 800 pages long? Thanks.

 

The book is probably half a statistical journal, with the other half of some interesting reads and a collection of anecdotes deeply researched for the pure Kelly nerd. So it depends on your point of view, if the glass is half full or empty. Yes, at least over half the book is occupied with pure math formulas, very dry, and the other pages enjoyable, so readers with non-mathematical backgrounds have to step dance through the pages. You have no other choice.

 

Here is an earlier version of their work from the year 2005 as a PDF file (63 pages), so you can get a feeling how the real updated book would look inside:

 

Hope this helps. Cheers!

 

Capital Growth: Theory and Practice

Leonard C. MacLean†and William T. Ziemba‡

September 29, 2005

 

http://stevanovichcenter.uchicago.edu/seminars/Handbook.pdf

 

For registered Amazon.com members there is also the free "Search Inside This Book" feature !

[Chris DeMuth Jr]

We use Kelly's formula for sizing investments and thought that this was an enjoyable and useful introduction to the basic concept and history -- http://seekingalpha.com/article/1146341-fortunes-formula-the-untold-story-of-the-scientific-betting-system-that-beat-the-casinos-and-wall-street.

[GrizzlyRock]

There is a great discussion of exactly how to use the formula in the new market wizards.  See attached for a spreadsheet that let's you play with formulas and a portion of a Kelly Growth piece I wrote earlier this year.

 

Hey Chris - how do you use the formula?

Kelly_Examples_Excel.xlsx

GR_Use_of_Kelly.doc

[Jurgis]

I thought there was a newer thread about this... anyway, I thought this article fits the topic although it shows a different angle on how a player could win against casinos:

 

https://www.theatlantic.com/magazine/archive/2012/04/the-man-who-broke-atlantic-city/308900/

[Liberty]

https://bloom.bg/2Pvnsn6