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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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22 1. The results show that with favorable investment opportunities.10 0. we present simulations of medium term Kelly.05 0. Ziemba lower is the Arrow-Pratt risk aversion.15 Variances Covariances 0.S. Table 1: Average Ratio of Certainty Equivalent Loss for Errors in Means.05 75 56.38 3.84 21. fractional Kelly and proportional betting strategies. 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. RA = −u (w)/u (w). the higher are the relative errors from incorrect means. In MacLean.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. Thorp. which is close to zero.98 2. Zhao and Ziemba (2009) in this section of this volume. 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.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. Since log has RA (w) = 1/w. Thorp. T-Bill Nav Index % Cash Equivalent Loss 11 10 9 8 7 6 5 4 Means S&P500 3 2 1 0 0 0.S.42 2. The Kelly bets may be exceedingly large and risky for favorable bets.Good and bad properties MacLean. Variances and Covariances. Kelly bettors attain large ﬁnal wealth most of the time. because a long sequence of bad scenario outcomes is possible.67 50 22. But.50 10. Source: Chopra and Ziemba (1993) Errors in Means Errors in Means Errors in Variances Risk Tolerance* vs Covariances vs Variances vs Covariances 25 5. any strategy can lose substantially even if there are many independent investment opportunities and the chance of losing at each investment 2 .

The Research Foundation of AIMR™ decision point is small. risk increases and long term growth falls. 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.Magnitude of Error (k) Means Variances Covariances Source: Based on data from Chopra and Ziemba (1993). were long term investors whose wealth paths were quite rocky but with good long term outcomes. eventually becoming more and more negative. The Kelly and fractional Kelly rules. Keynes and Buﬀett. As you exceed the Kelly bets more and more. See Ziemba (2009) in this volume. Source: Based on data from Chopra (1993) 12 ©2003. Variances.25 . see Ziemba (2003). In Section 6 of this volume. Log maximizes the long run growth rate. 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). 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. we describe the use of the Kelly criterion in many applications and by many great investors. Two of them. so Kelly dominates all these strategies in geometric riskreturn or mean-variance space. and Covariances MacLean. See the wealth graphs reprinted in section 6 from Ziemba (2005). Utility functions such as positive power that bet more than Kelly have more risk and lower growth. variances and covariances. like all other rules. Good and bad properties Figure 1.8. Thorp. the growth rate becomes zero plus the risk free rate when one bets exactly twice the Kelly wager. Average Turnover for Different Percentage Changes in Means. One of the properties shown below that is illustrated in the graph is that for processes which are well approximated by continuous time. Hence it never pays to bet more than the Kelly strategy because then risk increases (lower security) and growth decreases. are never a sure way of winning for a ﬁnite sequence. Long Term Capital is one of many real 3 . Figure 2: Average turnover for diﬀerent percentage changes in means.

gamesexample.6 Good and bad properties MacLean. the investor is less 0.67 1. where the returns investing using unpopular numbers in lotto For with low probabilities of success where P r(X = 1) = p. 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 ∗ .Liwill discussFor example.0 Overkill à 0. three topics: good and bad properties −1 and quarter Kelly is δ = −3. 0.78 when δ → 0 it converges to log utility. they both will provide the same optimal portfolio when α is invested in 2.2 0.99 1. 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.7 _ _ 0. Thorp.51 and q=0. Consider and 0.998 | 0.3 _ Range 0. See Ziemba and Ziemba (2007) for 0.96 0.89 cash.9 of a stationary lognormal process and a given δ for utility function δwδ and α = 1/(1 − δ) 1.75 0.74 aggressive since his absolute Arrow-Pratt risk aversion index is also0.56 between 0 and 1.84 0. We call betting | 0.64 0.6 the negative power utility function δω|δ for δ < 0. p + q = 1. For the case 0. 4 .75 0.0 Kelly 0. 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.next two columns.98 Thus long term growth maximizing investors should bet _Kelly or less.00 0.19 0.70 higher.4 for Safer 0. how bets can be very tiny) next month.94 Less Growth less than Kelly “fractional Kelly. where f ∗ = p − q 0 is the Kelly bet. p=0.00 the Kelly portfolio and 1 −Toois invested in cash. for coin tossing. 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. 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. p=0.51 0.51 and q=0.83 More Growth | As δ becomes more negative. This utility function is concave and Teams Riskier 0.1 0. This formula does not apply more generally. | 0.999 additional examples.49).” which is simply a blend of Kelly0.8 0. Ziemba Figure 2: Probability of doubling and quadrupling before halving and relative growth rates versus fraction of wealth wagered for Blackjack (2% advantage.36 0. see MacLean. half Kelly is δ = of the Kelly log strategy In the Ziemba and I (2005).5 Blackjack 0.49).5 0. P r(X very largeq.50 Relative Growth Rate 0.91 0.

Ziemba and Blazenko (1992). Good The ElogX bettor has an optimal myopic policy. This is a crucially important result for practical use. maximizing ElogX also asymptotically maximizes median logX. or fractional Kelly strategy. See Ethier (1987. Essentially diﬀerent has a limited meaning. Zhao and Ziemba (2004) reprinted in section 3. In fact past outcomes can be taken into account by maximizing the conditional expected logarithm given the past (Algoet and Cover. chapter 16). 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 . MacLean and Ziemba(1999) and Ziemba and Ziemba (2007). Thorp. Zhao and Ziemba (2009) add the feature that path violations are penalized with a convex cost function. 1988) Good Simulation studies show that the ElogX bettor’s fortune pulls ahead of other “essentially diﬀerent” strategies’ wealth for most reasonable-sized samples. then use a negative power utility function. Thorp. δwδ . See Breiman (1961). Ziemba and Hausch (1986) and MacLean. See MacLean. Sanegre.Good and bad properties MacLean. The Good Properties Good Maximizing ElogX asymptotically maximizes the rate of asset growth. See also Cover and Thomas (2006. Browne (1997a) Good Under fairly general conditions. See also Stutzer (2009) for a related but diﬀerent model of such security. See Breiman (1961). see Mossin (1968). 2010) Good The ElogX bettor never risks ruin. 2004. MacLean. Hakansson (1971) proved that the myopic policy obtains for dependent investments with the log utility function. 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. See Bicksler and Thorp (1973). Ziemba We now list these and other important Kelly criterion properties. updated from MacLean. Good If you wish to have higher security by trading it oﬀ for lower growth. For independent investments and any power utility a myopic policy is optimal. General formulas are in Aucamp (1993). For example g ∗ g but g ∗ − g = will not lead to rapid separation if is small enough The key again is risk. Algoet and Cover (1988). 5 . He does not have to consider prior nor subsequent investment opportunities. Zhao and Ziemba (2009) in this volume.

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

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

But if σα = 20%. under the further assumption of the Capital Asset Pricing Model.the size of the wagers should be reduced. suppose µα = 20%. • It can take a long time for any strategy. Consequently practitioners who wish to protect capital above all. σα = σβ = 10%. For instance. The Kelly and fractional Kelly strategies are very useful if applied carefully with good data input and proper ﬁnancial engineering risk control. However. Thorp. This result is due to Thorp (1997). with a geometric Wiener process. For long term compounders. Bernoulli trials f = 1 maximizes EU (x) but f = 2p − 1 < 1 maximizes ElogXN . Ziemba more such calculations. The theory and practical application of the Kelly criterion is straightforward when the underlying probability distributions are fairly accurately known. • 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. these estimates must be accurate and to be on the safe side. 8 . Thorp. to dominate an essentially diﬀerent strategy. in investment applications this is usually not the case. it takes 157 years for A to beat B with 95% conﬁdence. Stutzer (1998) and Janacek (1998) and possibly others. σβ = 10% with the same means. See Samuelson (1971) and Thorp (1971. 2006). Zhao and Ziemba (2009) in this volume. bad properties and observations to test whether Kelly is well suited to their intended application. The following simple proof. Prospective users of the Kelly Criterion can check our list of good properties. Realized future equity returns may be very diﬀerent from what one would expect using estimates based on historical returns. It takes two million trials to have an 84% chance that game A dominates game B. is due to Harry Markowitz and appears in Ziemba (2003). sharply reduce risk as their drawdown increases. As another example. µβ = 10%. Then in ﬁve years A is ahead of B with 95% conﬁdence. in continuous time with a geometric Wiener process. see Bicksler and Thorp (1973) and MacLean.Good and bad properties MacLean. Appendix In continuous time. see Thorp (2006). the good properties dominate the bad properties of the Kelly criterion. 1/2 < p < 1. Given the extreme sensitivity of E log calculations to errors in mean estimates. But the bad properties may dampen the enthusiasm of naive prospective users of the Kelly criterion.0% and game B 1. including Kelly. 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 1.1%. Counterexample: u(x) = x.

2 Hence g0 = r0 when Y = 2S. respectively. 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. Ziemba 1 gp = Ep − Vp 2 Ep . variance and expected log.Good and bad properties MacLean. 9 . 2 Substituting double Kelly. Thorp. gp are the portfolio expected return. The CAPM assumption is not needed. see Thorp (2006). 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. Vp . 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 . For a more general proof and illustration.

and W. Annals of Probability 16 (2). Aucamp. Browne. 876–898. Ethier. Janacek. T. (1998). M. Journal e of Applied Probability 20. K. R. V. and S. 391–400. J. Optimal gambling system for favorable games. On optimal myopic portfolio policies with and without serial correlation. Survival and growth with a ﬁxed liability: optimal portfolios in continuous time. The proportional bettor’s fortune. Bell. Ethier. Remarks on optimal portfolio selection. Charles University. Math of Operations Research 5. Optimal growth in gambling and investing. M. Improving optimization. P. Prague. Diﬀerent measures of win rates for optimal proportional betting. 10 . T. Griﬃn. Kallberg. In G. The Kelly system maximizes median fortune. Compound-return mean-variance eﬃcient portfolios never risk ruin. Cover (1988). V. N. The Doctrine of Chances: Probabilistic Aspects of Gambling. On the extensive number of plays to achieve superior performance with the geometric mean strategy. and B. Elements of Information Theory (2 ed. M. J. O. Miller (1975). Journal of Business 44. Ethier. P. H. and E. M. Finkelstein. Chopra.Sc. Cover. Proceedings 7th International Conference on Gambling and Risk Taking. 468–493. Bamberg and . 324–334. 724–733. The capital growth model: an empirical investigation. Management Science 30. S. Department of Economics. M. 161–166. Competitive optimality of logarithmic investment.). Methods of Operations Research. The eﬀect of errors in mean. Ethier. Oelgeschlager. (1971). (1993). G. (1993). Bicksler. Ziemba (1993). Journal of Investing 2 (3). S. Management Science 39. R. Advanced Applied Probability 13. T. Management Science 34 (6). Thorp. 63–8. Cover (1988). Thorp (1973). Optimal strategies for repeated games.Good and bad properties MacLean. Springer. The proportional bettor’s return on investment. Tavar´ (1983). Ziemba References Algoet. and Thomas (2006). K. 1163–1172. and T. Hakansson. L. Proceedings of the 4th Berkeley Symposium on Mathematical Statistics and Probability 1. Reno. and R. D. variance and covariance estimates on optimal portfolio choice. and T. S. and W. (1985). H. Math of Operations Research 22. Asymptotic optimality and asymptotic equipartition properties of log-optimum investment. L. Journal of Portfolio Management 19. Breiman. Thesis. M. Opitz (Eds. and T. Game-theoretic optimal portfolios. Whitley (1981). (1987). University of Nevada. Journal of Financial and Quantitative Analysis 8 (2). S. Management Science 22. 51–59. (2004). N. S. K. H. 415–428. (1961). Journal of Applied Probability 41. Chopra. 1540–1547. 1230–1236. 273–287. (2010). 563–573.). Bell. Hakansson. Cover (1980). Ziemba (1981). 6–11. (1997).

Growth versus security tradeoﬀs in dynamic investment analysis. Management Science 38. MacLean. O. L. Time to wealth goals in capital accumulation and the optimal trade-oﬀ of growth versus security. T. MacLean. MacLean. Zhao. 215– 229. E. E. Y. 215–224. Ziemba Volume 44. The Kelly criterion in blackjack. sports betting and the stock market. and D. February.. Risk and Capital.). W.. 507–520. Sanegre. (2006). Handbooks in Finance. 19 pages. 11 . (1971). Thorp.Good and bad properties MacLean. and W. W. T. Ziemba. and W. North Holland. and G.. (1971). W. Gunn and Hain. T. Utility theory for growth versus security. Dr. Z. CA. and W. Journal of Economic Dynamics and Control reprinted in this volume.). Samuelson. W. Charlottesville. Proceedings of the Business and Economics Section of the American Statistical Association. B. J. Hausch (1986). pp. Thorp. this volume. Working Paper. Ziemba. pp. Zhao. Thorp. Ziemba (2007). San Luis Obispo. Y. MacLean. Journal of Portfolio Management Fall. and Li (2005). this volume. Betting at the Racetrack. Dalhousie University. Scenarios for Risk Management and Global Investment Strategies. The symmetric downside risk Sharpe ratio and the evaluation of great investors and speculators. A. In G. Springer Verlag. (1968). Ziemba. VA. Ziemba (1999). On growth optimality versus security against underperformance. g (2004). Ziemba. Ziemba. L. E. Mossin. L. Proceedings National Academy of Science 68. A. L. 108–122. T. T. Portfolio choice and the Kelly criterion. T. and W. W. T. Y. New York. Thorp. Spremann (Eds. Kallberg. The stochastic programming approach to asset liability and wealth management. Annals of Operations Research 85. G. MacLean. 1562–85. Ziemba (1984). Bamberg and K. M. T. R. and W.. AIMR. T. The fallacy of maximizing the geometric mean in long sequences of investing or gambling.. Ziemba. Wiley. Optimal capital growth with convex loss penalties. Capital growth with security. 343– 357. W. Working Paper. and W. 74–87. Stutzer. In S. E. Investments. Quantitative Finance 5 (4). Zhao. L. T. O. (2003). T. Growth versus security in dynamic investment analysis. Ziemba (2009). (2005). Ziemba (Eds. pp. Handbook of asset and liability management. Zenios and W. Blazenko (1992). MacLean. C. J. O. Journal of Business 41. 2493–2496. S. T. 193–227. L.. T. (2009). (2009). Ziemba. R. Optimal multiperiod portfolio policies. 385–428. Medium term simulations of Kelly and fractional Kelly strategies. Ziemba (2009). Mis-speciﬁcations in portfolio selection problems. P.

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