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Leonard C. MacLean, Herbert Lamb Chair (Emeritus),School of Business, Dalhousie University, Halifax, NS Edward O. Thorp, E.O. Thorp and Associates, Newport Beach, CA Professor Emeritus, University of California, Irvine William T. Ziemba, Professor Emeritus, University of British Columbia, Vancouver, BC Visiting Professor, Mathematical Institute, Oxford University, UK ICMA Centre, University of Reading, UK University of Bergamo, Italy January 1, 2010

Abstract We summarize what we regard as the good and bad properties of the Kelly criterion and its variants. Additional properties are discussed as observations.

The main advantage of the Kelly criterion, which maximizes the expected value of the logarithm of wealth period by period, is that it maximizes the limiting exponential growth rate of wealth. The main disadvantage of the Kelly criterion is that its suggested wagers may be very large. Hence, the Kelly criterion can be very risky in the short term. In the one asset two valued payoﬀ case, the optimal Kelly wager is the edge (expected return) divided by the odds. Chopra and Ziemba (1993), reprinted in Section 2 of this volume, following earlier studies by Kallberg and Ziemba (1981, 1984) showed for any asset allocation problem that the mean is much more important than the variances and co-variances. Errors in means versus errors in variances were about 20:2:1 in importance as measured by the cash equivalent value of ﬁnal wealth. Table 1 and Figure 1 show this and illustrate that the relative importance depends on the degree of risk aversion. The

Special thanks go to Tom Cover and John Mulvey for helpful comments on an earlier draft of this paper.

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Source: Chopra and Ziemba (1993) Errors in Means Errors in Means Errors in Variances Risk Tolerance* vs Covariances vs Variances vs Covariances 25 5. Kelly bettors attain large ﬁnal wealth most of the time.05 0. Since log has RA (w) = 1/w.Good and bad properties MacLean. we present simulations of medium term Kelly.S.38 3.42 2. The results show that with favorable investment opportunities. dollars) 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 0 11/68 10/73 11/77 PNP S&P 500 U. T-Bill Nav Index % Cash Equivalent Loss 11 10 9 8 7 6 5 4 Means S&P500 3 2 1 0 0 0.50 10. Thorp. Chopra (1993) further shows that portfolio turnover is larger for errors in means than for variances and for co-variances but the degree of diﬀerence in the size of the errors is much less than the performance as shown in Figure 2. which is close to zero.68 ↓ ↓ ↓ 20 10 2 Error Mean Error Var Error Covar 20 2 1 ∗ Risk tolerance=RT (w) = 100 1 R (w) 2 A (w) where RA (w) = − u (w) u Price (U. any strategy can lose substantially even if there are many independent investment opportunities and the chance of losing at each investment 2 . RA = −u (w)/u (w).22 1. Zhao and Ziemba (2009) in this section of this volume.67 50 22.84 21. the higher are the relative errors from incorrect means.98 2. Thorp.20 Magnitude of error (k) 03 c-04 r-04 -04 p-04 c-04 r-05 -05 p-05 c-05 c-06 n n De Ma Ju Se De Ma Ju Se De De Date 10 Figure 1: Mean Percentage Cash Equivalent Loss Due to Errors in Inputs. Ziemba lower is the Arrow-Pratt risk aversion. But. fractional Kelly and proportional betting strategies. Variances and Covariances. Table 1: Average Ratio of Certainty Equivalent Loss for Errors in Means.15 Variances Covariances 0.S. The Kelly bets may be exceedingly large and risky for favorable bets.05 75 56.10 0. In MacLean. because a long sequence of bad scenario outcomes is possible.

so Kelly dominates all these strategies in geometric riskreturn or mean-variance space. Our analyses suggest that Buﬀett seems to act similar to a fully Kelly bettor (subject to the constraint of no borrowing) and Keynes like a 80% Kelly bettor with a negative power utility function −w−0. risk increases and long term growth falls. Figure 2: Average turnover for diﬀerent percentage changes in means. are never a sure way of winning for a ﬁnite sequence.25 . The Kelly and fractional Kelly rules. variances and covariances.8. As you exceed the Kelly bets more and more. Thorp. Long Term Capital is one of many real 3 . Hence it never pays to bet more than the Kelly strategy because then risk increases (lower security) and growth decreases. Two of them. we describe the use of the Kelly criterion in many applications and by many great investors. Good and bad properties Figure 1. See the wealth graphs reprinted in section 6 from Ziemba (2005). Ziemba Average Turnover (% per month) 50 40 Means 30 Variances 20 10 Covariances 10 5 10 15 20 25 30 35 40 45 50 Change (%) Source: Based on data from Chopra (1993). Utility functions such as positive power that bet more than Kelly have more risk and lower growth.Magnitude of Error (k) Means Variances Covariances Source: Based on data from Chopra and Ziemba (1993). One of the properties shown below that is illustrated in the graph is that for processes which are well approximated by continuous time. Graphs such as Figure 3 show that growth is traded oﬀ for security with the use of fractional Kelly strategies and negative power utility functions. See Ziemba (2009) in this volume. Variances. were long term investors whose wealth paths were quite rocky but with good long term outcomes. Log maximizes the long run growth rate. see Ziemba (2003). like all other rules. Keynes and Buﬀett. Average Turnover for Different Percentage Changes in Means. In Section 6 of this volume. Source: Based on data from Chopra (1993) 12 ©2003. and Covariances MacLean. eventually becoming more and more negative. the growth rate becomes zero plus the risk free rate when one bets exactly twice the Kelly wager. The Research Foundation of AIMR™ decision point is small.

” which is simply a blend of Kelly0. and futures and commodity are − 1) = (this illustrates ∗ fδ = p 1−δ − q 1−δ p 1 1−δ 1 1 +q 1 1−δ = pα − q α pα + q α which is not αf ∗ .89 cash.56 between 0 and 1.78 when δ → 0 it converges to log utility. how bets can be very tiny) next month.51 and q=0.64 0.00 0.next two columns.51 0. why this led me to work with Len MacLean on a through study of fractional Kelly strategies and and So if you want a less aggressive path than Kelly pick an appropriate δ.91 0.19 0. We call betting | 0. P r(X very largeq. p=0.2 0.00 the Kelly portfolio and 1 −Toois invested in cash. p + q = 1. α Risky This handy formula relating the coeﬃcient of (1999)negative power utility function to the Source: MacLean and Ziemba the Kelly fraction is correct for lognormal investments and approximately correct for other distributed assets.51 and q=0. for coin tossing. Source: McLean and Ziemba (1999) Figure 3: Probability of doubling and quadrupling before halving and relative growth rates versus fraction of wealth wagered for Blackjack (2% advantage.74 aggressive since his absolute Arrow-Pratt risk aversion index is also0. p=0. they both will provide the same optimal portfolio when α is invested in 2.70 higher. 0. Source: MacLean and Ziemba (1999) Rates Versus Probability of Doubling Before Halving for Blackjack Table 3: Growth Kelly Fraction P[Doubling before of Current Halving] Wealth world instances in which overbetting led to disaster. half Kelly is δ = of the Kelly log strategy In the Ziemba and I (2005).36 0. Ziemba Figure 2: Probability of doubling and quadrupling before halving and relative growth rates versus fraction of wealth wagered for Blackjack (2% advantage.0 Overkill à 0.49). see MacLean. the investor is less 0. Thorp. gamesexample.0 Kelly 0.67 1. This utility function is concave and Teams Riskier 0.999 additional examples.7 _ _ 0.75 0.99 1. where the returns investing using unpopular numbers in lotto For with low probabilities of success where P r(X = 1) = p.4 for Safer 0. 4 .94 Less Growth less than Kelly “fractional Kelly. Consider and 0.6 Good and bad properties MacLean.3 _ Range 0. See Ziemba and Ziemba (2007) for 0.1 0.8 0.96 0.9 of a stationary lognormal process and a given δ for utility function δwδ and α = 1/(1 − δ) 1.84 0.49).83 More Growth | As δ becomes more negative. This formula does not apply more generally. For the case 0.Liwill discussFor example.75 0. three topics: good and bad properties −1 and quarter Kelly is δ = −3.5 Blackjack 0.6 the negative power utility function δω|δ for δ < 0. | 0.5 0.998 | 0.98 Thus long term growth maximizing investors should bet _Kelly or less.50 Relative Growth Rate 0. where f ∗ = p − q 0 is the Kelly bet.

Hakansson (1971) proved that the myopic policy obtains for dependent investments with the log utility function. See MacLean. Zhao and Ziemba (2009) add the feature that path violations are penalized with a convex cost function. updated from MacLean. 5 . For independent investments and any power utility a myopic policy is optimal. See Ethier (1987. The Good Properties Good Maximizing ElogX asymptotically maximizes the rate of asset growth. See Breiman (1961). chapter 16). Thorp. 2004. For example g ∗ g but g ∗ − g = will not lead to rapid separation if is small enough The key again is risk. 2010) Good The ElogX bettor never risks ruin.Good and bad properties MacLean. See also Cover and Thomas (2006. General formulas are in Aucamp (1993). Zhao and Ziemba (2004) reprinted in section 3. Good The ElogX bettor has an optimal myopic policy. Algoet and Cover (1988) Good The expected time to reach a preassigned goal A is asymptotically least as A increases without limit with a strategy maximizing ElogXN . Essentially diﬀerent has a limited meaning. Algoet and Cover (1988). 1988) Good Simulation studies show that the ElogX bettor’s fortune pulls ahead of other “essentially diﬀerent” strategies’ wealth for most reasonable-sized samples. Thorp. See also Stutzer (2009) for a related but diﬀerent model of such security. Ziemba and Hausch (1986) and MacLean. He does not have to consider prior nor subsequent investment opportunities. δwδ . Sanegre. See Breiman (1961). Browne (1997a) Good Under fairly general conditions. In fact past outcomes can be taken into account by maximizing the conditional expected logarithm given the past (Algoet and Cover. See Hakansson and Miller (1975) Good The absolute amount bet is monotone increasing in wealth. who show how to compute the coeﬃcent to stay above a growth path at discrete points in time with given probability or to be above a given drawdown with a certain conﬁdence limit. or fractional Kelly strategy. maximizing ElogX also asymptotically maximizes median logX. Ziemba and Blazenko (1992). MacLean and Ziemba(1999) and Ziemba and Ziemba (2007). This is a crucially important result for practical use. Good If you wish to have higher security by trading it oﬀ for lower growth. see Mossin (1968). then use a negative power utility function. MacLean. See Bicksler and Thorp (1973). Zhao and Ziemba (2009) in this volume. Ziemba We now list these and other important Kelly criterion properties.

the maximizing f ∗ in the previous equation guarantees that the f ∗ portfolio will asymptotically exponentially outperform any other portfolio f ∈ [0. 1980. for all other strategies X. P r [X tX ∗ ] 1.Good and bad properties MacLean. where E ln Y = ∞. for t ∗ by a factor t with probability greater x.1]. 1988). by maximizing the relative growth rate 1−f + fY c .. 1]. 1988). The maximizing f ∗ is the Kelly proportion (Cover and Bell. Both investors’ wealth have super exponential growth. c where f is the fraction of wealth invested. and 1 let U be independent of X ∗ . This inequality can be improved when t = 1 by allowing fair randomization t U . 1980). 1] are equally good. Since a competing investor can use the same strategy. This follows from the Kuhn Tucker conditions. Ziemba X Good Competitive optimality . 6 . for the wealth X induced by any other portfolio (Bell and Cover. k = 1. but the f ∗ investor will exponentially outperform any other essentially different investor. Thus by 1 Markov’s inequality. Any cost c for the St Petersburg random variable X. the less wealth one should invest. Thus fairly randomizing one’s initial wealth and then investing it according to the Kelly criterion. The Kelly fraction f ∗ can be computed even for a super St k Petersburg random variable P r Y = 22 = 2−k . i. 1 1 + 2c Y 2 0 f 1 max E ln This is bounded for all f in [0. But the larger the cost c. Thorp. So we see that X ∗ (actually U X ∗ ) is competitively optimal in a single investment period (Bell and Cover 1980. then the expected X wealth ratio is no greater than one. Thus an opponent cannot outperform X than 1 .2]. 2. Let U be drawn according to a uniform distribution over the interval [0. Good If X ∗ is the wealth induced by the log optimal (Kelly) portfolio. We see that Kelly gambling is the heart of the solution of this two-person zero sum game of who ends up with the most money.e. Kelly gambling yields wealth X ∗ such that E( X ∗ ) 1. . is acceptable. probability 1 2 is the best competitive performance one can expect. . E( X ∗ ) 1. P r X = 2k = 2−k . Then the result improves to P r [X U X ∗ ] 2 for all portfolios X. one obtains a wealth U X ∗ that can only be beaten half the time. although the exponential growth rate of wealth is inﬁnite for all proportions f and it seems that all f ∈ [0. Good Super St Petersburg. The growth rate G∗ of wealth resulting from repeated such investments is G∗ = max E ln(1 − f + 0 f 1 f X). . Now. and for all other induced wealths t . .

• The Kelly portfolio does not necessarily lie on the eﬃcient frontier in a mean-variance model (Thorp. making 700 wagers all of which have a 14% advantage. Some Observations • For an i. • A betting strategy is “essentially diﬀerent” from Kelly if Sn ≡ n Elog(1+fi∗ Xi )− i=1 n Elog(1 + fi Xi ) tends to inﬁnity as n increases. For n wins and n losses and initial wealth W0 we have W2n = W0 (1 − f 2 )n . like any other strategy. the optimal fractional wager. the result is ﬁxed fraction betting. For one such example. For 7 . the least of which has a 19% chance of winning can turn $1000 into $18. But with full Kelly 16.d. Thorp and Ziemba actually made this place and show bet and won with a low fractional Kelly wager. using the Dr Z place and show system using the win odds as the probability of winning. Bad For coin tossing. see Ziemba and Hausch (1986. 1971). This is a consequence of weighting equally rather than by size of the wager. any ﬁxed fraction strategy has the property that if the number of wins equals the number of losses then the bettor is behind.1% of the time. on the 3-5 shot Slew of Gold was 64%. • Despite its superior long-run growth properties. Kelly. Wild Again won this race. Ziemba The Bad Properties Bad The bets may be a large fraction of current wealth when the wager is favorable and the risk of loss is very small.000. (See also the 74% future bet on the January eﬀect in MacLean.i. The sequence {fi∗ } denotes i=1 the Kelly betting fractions and the sequence {fi } denotes the corresponding betting fractions for the essentially diﬀerent strategy.Good and bad properties MacLean. Thus you may regularly win less than you expect. Ziemba and Blazenko (1992) reprinted in this volume). which results from maximizing expected utility in case the utility function is log or a negative power. Bad The unweighted average rate of return converges to half the arithmetic rate of return. 159-160). the ﬁrst great victory by the masterful jockey Pat Day. There.000 plus ﬁnal wealth 0. See Ethier and Tavar´ (1983) and Griﬃn e (1985). can have a poor return outcome. hence fractional Kelly includes all these policies.6% of the time $1000 turns into at least $100. Half Kelly does not help much as $1000 can become $145 and the growth is much lower with only $100. For example. Thorp. process and a myopic policy. in the inaugural 1984 Breeders Cup Classic $3 million race. Slew ﬁnished third but the second place horse Gate Dancer was disqualiﬁed and placed third. see Ziemba and Hausch (1996).

8 . suppose µα = 20%. σβ = 10% with the same means. Counterexample: u(x) = x. Prospective users of the Kelly Criterion can check our list of good properties. it takes 157 years for A to beat B with 95% conﬁdence. But if σα = 20%. to dominate an essentially diﬀerent strategy. The theory and practical application of the Kelly criterion is straightforward when the underlying probability distributions are fairly accurately known. Appendix In continuous time. For long term compounders. σα = σβ = 10%.Good and bad properties MacLean. • It can take a long time for any strategy. Bernoulli trials f = 1 maximizes EU (x) but f = 2p − 1 < 1 maximizes ElogXN .the size of the wagers should be reduced. Realized future equity returns may be very diﬀerent from what one would expect using estimates based on historical returns. Given the extreme sensitivity of E log calculations to errors in mean estimates. 2006). including Kelly. As another example. This result is due to Thorp (1997).0% and game B 1. see Thorp (2006). with a geometric Wiener process. Thorp. in continuous time with a geometric Wiener process. 1/2 < p < 1. Consequently practitioners who wish to protect capital above all. is due to Harry Markowitz and appears in Ziemba (2003). bad properties and observations to test whether Kelly is well suited to their intended application. sharply reduce risk as their drawdown increases. However. Ziemba more such calculations. For instance. Thorp.1%. • Fallacy: If maximizing ElogXN almost certainly leads to a better outcome then the expected utility of its outcome exceeds that of any other rule provided N is suﬃciently large. Zhao and Ziemba (2009) in this volume. betting exactly double the Kelly criterion amount leads to a growth rate equal to the risk free rate. in coin tossing suppose game A has an edge of 1. It takes two million trials to have an 84% chance that game A dominates game B. see Bicksler and Thorp (1973) and MacLean. But the bad properties may dampen the enthusiasm of naive prospective users of the Kelly criterion. the good properties dominate the bad properties of the Kelly criterion. Then in ﬁve years A is ahead of B with 95% conﬁdence. The following simple proof. See Samuelson (1971) and Thorp (1971. The Kelly and fractional Kelly strategies are very useful if applied carefully with good data input and proper ﬁnancial engineering risk control. these estimates must be accurate and to be on the safe side. under the further assumption of the Capital Asset Pricing Model. Stutzer (1998) and Janacek (1998) and possibly others. in investment applications this is usually not the case. µβ = 10%.

Ziemba 1 gp = Ep − Vp 2 Ep . gp are the portfolio expected return. namely Y = 2X for X above into 1 2 gp = r0 + (EM − r0 )Y − σM Y 2 2 and simplifying yields 4 2 2 g0 − r0 = 2(EM − r0 )2 /σM − (EM − r0 )2 /σM = 0. Collecting terms and setting the derivative of gp to zero yields 2 X = (EM − r0 )/σM which is the optimal Kelly bet with optimal growth rate 1 2 2 g ∗ = r0 + (EM − r0 )2 − [(EM r0 )/σM ]2 σM 2 1 2 2 = r0 + (EM − r0 )2 /σM − (EM − r0 )2 /σM 2 1 = r0 + [(E − M − r))/σM ]2 . In the CAPM Ep = ro + (EM − r0 )X 2 V p = σM X 2 In continuous time where X is the portfolio weight and r0 is the risk free rate. see Thorp (2006).Good and bad properties MacLean. respectively. The CAPM assumption is not needed. 2 Substituting double Kelly. 2 Hence g0 = r0 when Y = 2S. variance and expected log. 9 . For a more general proof and illustration. Thorp. Vp .

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