Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria
Leonard C. MacLean, Edward O. Thorp, William T. Ziemba · Quantitative Finance
Main finding
Kelly maximises long-run growth but can be very risky in the short run; fractional Kelly trades some growth for substantially lower risk.
Limitations
Assumes known return distributions in the main results.
Study details
- Authors
- Leonard C. MacLean, Edward O. Thorp, William T. Ziemba
- Published
- 2010
- Venue
- Quantitative Finance 10(7), 681–687
- Status
- Published
- Evidence type
- Peer-reviewed theory
- Evidence strength
- Moderate (our assessment of how much weight the finding can bear)
- Sport
- None specific
- Markets
- General investment and betting
- Method
- Reviews the long-run and short-run properties of Kelly and fractional Kelly strategies.
- Sample
- Not applicable.
- Replication
- Not applicable.
Read the original
doi:10.1080/14697688.2010.506108 (opens in a new tab)
Our summary is an original paraphrase for education. Verification: Bibliographic record checked against publisher, index or author listings. Checked 2026-10-25.