Leonard C. MacLean's Books

The Kelly Capital Growth Investment Criterion

Theory and Practice

By: Leonard C. MacLean,Edward O. Thorp,W. T. Ziemba

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The Kelly Capital Growth Investment Criterion

Theory and Practice

By: Leonard C. MacLean,Edward O. Thorp,W. T. Ziemba

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. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. 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. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.

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Page Count

883

Publisher

World Scientific

Published Date

ISBN 10

9814293490

ISBN 13

9789814293495

Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making

By: Leonard C Maclean,William T Ziemba

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Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making

By: Leonard C Maclean,William T Ziemba

This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.

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Page Count

212

Publisher

World Scientific Publishing Company

Published Date

ISBN 10

9814759368

ISBN 13

9789814759366

Handbook of the Fundamentals of Financial Decision Making

By: Leonard C. MacLean,William T. Ziemba

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Handbook of the Fundamentals of Financial Decision Making

By: Leonard C. MacLean,William T. Ziemba

This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).

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Page Count

941

Publisher

World Scientific

Published Date

ISBN 10

9814417351

ISBN 13

9789814417358

Sports Analytics

By: Leonard C Maclean,William T Ziemba

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Sports Analytics

By: Leonard C Maclean,William T Ziemba

This book is a collection of applications of analytic techniques to a number of popular sports including baseball, basketball, hockey, Jai Alai, NFL football and horseracing. We focus on both the statistics of the sporting events and betting strategies on the events. The subject is fascinating as there are many twists and subtle complicated decisions.Sports analytics applies mathematical and statistical methods to important questions in the structure and performance of sporting activities using the same basic methods and approaches as data analysts in other disciplines.Sports games and events are a fruitful area for study and to evaluate betting strategies as there is extensive data and mean reversion. With prices changing continuously, risk arbitrage bets can be made. Moreover, little errors, like a penalty to a player or an error in a call by a referee, can change the score of a game and corresponding betting prices. The collection and analysis of in-game data can inform players, coaches and staff on effective decision making during sporting events.Novel features of the book include: an analysis of who were the greatest baseball batters; analyses of the players most important to team success (and they are not necessarily the best players) in basketball, NFL football and hockey; a tutorial on risk arbitrage and its applications to NFL football and NBA basketball; a discussion of many ad hoc decision rules by coaches and players and what was really optimal; in the racing section we discuss breeding, the analysis of various bets like the Rainbow and ordinary Pick 6, a discussion and betting on the most important races and a visit to the Breeders' Cup with Ed Thorp to demonstrate the place and show system in action.

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Page Count

587

Publisher

World Scientific

Published Date

ISBN 10

9811250227

ISBN 13

9789811250224

Dr Z's Nfl Guidebook

By: William T Ziemba,Leonard C Maclean

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Dr Z's Nfl Guidebook

By: William T Ziemba,Leonard C Maclean

This guidebook presents historical and new material to assist the reader to understand NFL game strategies and provides a winning betting strategy. The authors, William Ziemba and Leonard MacLean are professors, traders, financial analysts and sports enthusiasts. They covered ideas like the game's strategies, and shared their wealth of personal experience analyzing the regular season, the playoffs and the Super Bowls in the years 2010-2017. The results of their actual betting for the 2009-10 to the 2017-18 seasons are provided. The authors concluded the book with a forecast for the 2018-2019 season. They determine the players most valuable to win the games, discuss crucial decisions and provide prediction methodology. The authors concluded with a forecast of the top teams, players and odds to win the 53rd Super Bowl.

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Page Count

367

Publisher

World Scientific

Published Date

ISBN 10

9813276517

ISBN 13

9789813276512

Book's by Leonard C. MacLean

The Kelly Capital Growth Investment Criterion

The Kelly Capital Growth Investment Criterion

Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making

Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making

Handbook of the Fundamentals of Financial Decision Making

Handbook of the Fundamentals of Financial Decision Making

Sports Analytics

Sports Analytics

Dr Z's Nfl Guidebook

Dr Z's Nfl Guidebook

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