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A Response to Professor Paul A. Samuelson’s Objections to Kelly Capital Growth Investing
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A Response to Professor Paul A. Samuelson’s Objections to Kelly Capital Growth Investing (2015)A Response to Professor Paul A. Samuelson…The Kelly Capital Growth Investment Criterion (2011)The Kelly Capital Growth Inve…Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…Efficiency of the Market for Racetrack Betting (1981)Efficiency of the Market for …St. Petersburg Paradoxes: Defanged, Dissected, and Historically Described (1977)St. Petersburg Paradoxes: Def…THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS (1976)THE STRONG CASE FOR THE GENER…INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE (1976)INVESTMENT FOR THE LONG RUN: …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Fallacy of the log-normal app…On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields (1971)On Optimal Myopic Portfolio P…Capital Growth and the Mean-Variance Approach to Portfolio Selection (1971)Capital Growth and the Mean-V…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of Financial Decision Making. (1988)Inefficient Markets (2000)Portfolio Selection: Efficient Diversification of Investments (1959)General Proof that Diversification Pays (1967)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Prices vs. Quantities (1974)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Universal Portfolios (1991)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Prediction, Learning, and Games (2006)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Strategic Asset Allocation (2002)THE DEMAND FOR RISKY ASSETS (1977)Effectuation, Causation, and Bricolage: A Behavioral Comparison of Emerging Theories in Entrepreneurship Research (2012)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Financial Intermediation and Delegated Monitoring (1984)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
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References

  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 1976THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS295 cited
  • 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods266 cited
  • 1981Efficiency of the Market for Racetrack Betting249 cited
  • 1976INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE212 cited
  • 2011The Kelly Capital Growth Investment Criterion202 cited
  • 1971Capital Growth and the Mean-Variance Approach to Portfolio Selection199 cited
  • 1977St. Petersburg Paradoxes: Defanged, Dissected, and Historically Described

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185 cited
  • 1971On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields177 cited
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