Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01zw12z5486
 Title: A Monte Carlo Analysis of the Application of the Kelly Criterion on a Finite Time Horizon Authors: Ye, Michael Advisors: Mulvey, John Department: Operations Research and Financial Engineering Class Year: 2014 Abstract: The Kelly Criterion is a betting strategy that will always outperform other strategies given an infinite numbers of trials. Due to practical limitations, the player is unable to invest in an infinite number of trials. We exam the effectiveness of the Kelly Criterion on even money games on a finite time horizon using the Monte Carlo method and approximate the finite number of trials threshold where if the number of plays , the investor is more likely to end with infinite capital, and where if , the investor is more likely to not end with infinite capital. We also estimate the arbitrarily large number of plays where the marginal gains in wealth between and infinity plays is small enough such that the player is indifferent to realizing these gains. In other words, we estimate as the number of trials needed to almost always see a return of essentially infinite wealth. Extent: 133 URI: http://arks.princeton.edu/ark:/88435/dsp01zw12z5486 Type of Material: Princeton University Senior Theses Language: en_US Appears in Collections: Operations Research and Financial Engineering, 2000-2016

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