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Kelly Capital Growth Investment Criterion, The: Theory And Practice by Edward O Thorp, Leonard C Maclean, William T Ziemba (Hardcover, 2011)

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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. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash.