Fortune's Formula (43 page)

Exponentially growing endowment for UC Irvine: Thorp, e-mail.

“something available in the Eastern Hemisphere”: Thorp, interview.

Heretic born every minute: Samuelson, personal letter, June 28, 2004.

A story with everything except an ending: Thomas Cover, e-mail.

10 percent of M.B.A. programs, “shameful”: Hakansson, interview.

“The Kelly criterion is integral”: Legg Mason Value Trust 2003 annual report, 5.

“should handily beat the published investment policies”: Quaife 1993.

“When something keeps turning up like that”: Cover, interview.

“there’s a dark side to infinity”: Cover, interview.

“life, and everything in it”: Wilmott 2001, 146n.

“people, not only at roulette”: Dostoyevsky 1966.

“You’ve heard of Kuhn’s paradigm shift?”: Wilcox, interview.

Aftab, Omar, Pearl Cheung, Austin Kim, Sneha Thakkar, and Neelima Yeddanapudi (2001). “Information Theory: Information Theory and the Digital Age.” Cambridge: Massachusetts Institute of Technology.

Bachelier, Louis (1900).
Théorie de la Spéculation
. Paris: Gauthier-Villars. An English translation appears in Cootner 1964.

Baird, Bruce A., and Carolyn P. Vinson (1990). “RICO Pretrial Restraints and Due Process: The Lessons of Princeton/Newport.”
Notre Dame Law Review
65:1009–34.

Baldwin, Roger R., Wilbert E. Cantey, Herbert Maisel, and James P. McDermott (1956). “The Optimum Strategy in Blackjack.”
Journal of the American Statistical Association
51:429–39.

Baldwin, William (1986). “Beat the Dealer.”
Forbes
, May 5, 1986, 170–72.

Barrett, Wayne (2000).
Rudy!: An Investigative Biography of Rudolph Giuliani
. New York: Basic Books.

Barzman, Norma (2003).
The Red and the Blacklist
. New York: Nation Books. This is the memoir of Shannon’s first wife.

Bauder, David (2003). “Advance Bets Placed on
Survivor
Winner.” AP story, Dec. 15, 2003.

Begley, Sharon (2004). “Scientists Who Give Their Minds to Study, Can Give Names, Too.”
Wall Street Journal
, Jan. 2, 2004, 1+.

Bell, Robert M., and Thomas M. Cover (1980). “Competitive Optimality of Logarithmic Investment.”
Mathematics of Operations Research
, May 1980, 161–66.

Bellman, R., and R. Kalaba (1957). “On the Role of Dynamic Programming in Statistical Communication Theory.”
IRE Transactions of the Professional Group on Information Theory
, IT-3 no. 3:197–203.

Bennett, Charles H. (1982). “The Thermodynamics of Computation—A Review.”
International Journal of Theoretical Physics
21:905–40.

Benter, William (1994). “Computer Based Horse Race Handicapping and Wagering Systems: A Report.” In Hausch, Lo, and Ziemba 1994, 183–98.

Berlekamp, Elwyn (1993). “1993 Shannon Lecture.” www.itsoc.org/society/shannon_awd.htm.

Bernoulli, Daniel (1954). “Exposition of a New Theory on the Measurement of Risk.” Trans. Louise Sommer.
Econometrica
22:23–36.

Bernstein, Jeremy (1984).
Three Degrees Above Zero: Bell Labs in the Information Age
. New York: Scribner’s, 1984.

Bernstein, Peter L. (1996).
Against the Gods: The Remarkable Story of Risk
. New York: John Wiley.

Boone, J. V., and R. R. Peterson (2000). “The Start of the Digital Revolution: SIGSALY Secure Digital Voice Communications in World War II.” National Security Agency. www.nsa.gov/wwii/papers/start_of_digital_revolution.htm.

Booth, David G., and Eugene F. Fama (1992). “Diversification Returns and Asset Contributions.”
Financial Analysts Journal
, May–June 1992, 26–32.

Breiman, Leo (1960). “Investment Policies for Expanding Businesses Optimal in a Long-Run Sense.”
Naval Research Logistics Quarterly
7:647–51.

———(1961). “Optimal Gambling Systems for Favorable Games.”
Fourth Berkeley Symposium on Probability and Statistics
1:65–78.

Bruck, Connie (1989).
The Predators’ Ball
. New York: Penguin.

———(1994).
Master of the Game
. New York: Simon and Schuster.

Buffett, Warren E. (1984). “The Superinvestors of Graham-and-Doddsville.”
Hermes, the Columbia Business School Magazine
, Fall 1984, 4–15.

Casanova, Giacomo (1822–28).
The Complete Memoirs
. Originally published in German from 1822 to 1828. An English translation is available at www.gutenberg.org/etext/2981.

Chiu, Eugene, Jocelyn Lin, Brok Mcferron, Noshirwan Petigara, and Satwiksai Seshashai (2001). “Mathematical Theory of Claude Shannon.” mit.edu/6.933/www/Fall2001/Shannon1.pdf.

Clements, Jonathan (1990). “Money-Manager Math Whiz Calls It Quits.”
Wall Street Journal
, Mar. 15, 1990.

Coe, Andrew (2003). “No Egg, No Cream, No Ethics.”
New York Times
, Aug. 24, 2003.

Coggan, Philip (2003). “Blackjack Wizard Suggests Safer Bets.”
Financial Times
, Nov. 15, 2003.

Cooney, John (1982).
The Annenbergs
. New York: Simon and Schuster.

Cootner, Paul (1964).
The Random Character of Stock Market Prices
. Cambridge, Mass.: MIT Press.

Coughlin, Kevin (2001). “C. Shannon, a Genius of Digital Life.”
Newark Star-Ledger
, Feb. 27, 2001.

Cover, Thomas (1991). “Universal Portfolios.”
Mathematical Finance
1, no. 1:1–29.

———(1998a). “Shannon and Investment.”
IEEE Information Theory Society Newsletter
, Golden Jubilee issue (Summer 1998), 10–11.

———(1998b). “Shannon Reminiscences.”
IEEE Information Theory Society Newsletter
, Golden Jubilee issue (Summer 1998), 18–19.

Cutler, D. M., M. Poterba, and L. H. Summers (1989). “What Moves Stock Prices.”
Journal of Portfolio Management
12:4–12.

DeLong, Thomas A. (1991).
Quiz Craze: America’s Infatuation with Game Shows
. New York: Praeger.

Dostoyevsky, Fyodor (1966).
The Gambler/Bobok/A Nasty Story
. New York: Penguin. A text of
The Gambler
is available at www.gutenberg.org/etext/2197.

Dunbar, Nicholas (2000).
Inventing Money
. New York: Wiley.

Elias, Peter (1958). “Two Famous Papers.”
IRE Transactions on Information Theory
, Sept. 1958, 99.

Epstein, Richard A. (1995).
Theory of Gambling and Statistical Logic
. Revised ed. San Diego: Academic Press.

Evans, Robert (1994).
The Kid Stays in the Picture
. New York: Hyperion.

Fama, Eugene (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work.”
Journal of Finance
25:383–417.

———(1991). “Efficient Capital Markets, II.”
Journal of Finance
46:1575–1617.

Ferguson, T. S. (1965). “Betting Systems Which Minimize the Probability of Ruin.”
Journal of the Society for Industrial Applications of Mathematics
13:3.

Fonzi, Gaeton (1970).
Annenberg: A Biography of Power
. New York: Weybright and Talley.

Gabelli, Mario J. (1995–2003). “The History of Hedge Funds.” www.gabelli.com/news/mario-hedge_102500.html.

Giuliani, Rudolph W., with Ken Kurson (2002).
Leadership
. New York: Miramax.

Goldman, M. Barry (1974). “A Negative Report on the ‘Near Optimality’ of the Max-Expected-Log Policy as Applied to Bounded Utilities for Long-Lived Programs.”
Journal of Financial Economics
1. (1974), 97–103.

Golomb, Solomon W., Elwyn Berlekamp, Thomas M. Cover, et al. (2002). “Claude Elwood Shannon (1916–2001).”
Notices of the AMS
, Jan. 2002.

Hagstrom, Robert (2000).
The Warren Buffett Portfolio
. New York: Wiley.

Hakansson, Nils H. (1971). “Capital Growth and the Mean-Variance Approach to Portfolio Selection.”
Journal of Financial and Quantitative Analysis
6:517–57.

———, and William T. Ziemba (1995). “Capital Growth Theory.” In
Handbooks in Operations Research and Management Science: Finance
, vol. 9., eds. R. A. Jarrow, V. Makismovic, and W. T. Ziemba. Amsterdam: North Holland.

Haugen, Robert A. (1999).
The New Finance: The Case Against Efficient Markets
. Englewood Cliffs, N.J.: Prentice Hall.

Hausch, Donald B., Victor S. Y. Lo, and William T. Ziemba (1994).
Efficiency of Racetrack Betting Markets
. San Diego: Academic Press. This book is hard to find and is reported to have sold for large sums on eBay. A reprint is available from Ziemba ([email protected]).

Hershberg, Philip I. (n.d. [1986]). “Claude Shannon on Investment Information: The Father of Information Theory Describes His Investment Picks.” Unpublished article.

Hicks, Jerry (1982). “Blackjack’s No. 1 Guru.”
Los Angeles Times
, July 25, 1982.

Hiltzik, Michael A. (1995). “Counters Culture.”
Los Angeles Times Magazine
, Mar. 12, 1995, 16–19+.

Hirshleifer, D., and T. Shumway (2001). “Good Day Sunshine: Stock Returns and the Weather.” SSRN Working Paper; forthcoming in
Journal of Finance
.

Hodges, Andrew (1983).
Alan Turing: The Enigma
. New York: Simon and Schuster.

Horgan, John (1992). “Claude E. Shannon.”
IEEE Spectrum
, Apr. 1992, 72–75.

Hua, Philip, and Paul Wilmott (n.d.). “Modelling Market Crashes: The Worst-Case Scenario.” paul.wilmott.com/publications.cfm.

Hulbert, Mark (2003). “When All Numbers Are In, Do Hedge Funds Shine?”
New York Times
, Nov. 30, 2003.

Hunt, B. F. (2000). “Growth Optimal Portfolios: Their Structure and Nature.” banking.web.unsw.edu.au/seminar/2002/growthoptimalportfolios_92.pdf.

Jevons, William Stanley (1986).
Letters and Journal of W. Stanley Jevons
. Ed. H. A. Jevons. London: Macmillan.

Johnson, George. “Claude Shannon, Mathematician, Dies at 84.”
New York Times
, Feb. 27, 2001.

Kahn, David (1967).
The Codebreakers: The Story of Secret Writing
. New York: Macmillan.

Kallberg, J. G., and W. T. Ziemba (1994). “Concavity Properties of Racetrack Betting Models.” In Hausch, Lo, and Ziemba 1994.

Kandel, Myron (1969).
The Wall Street Letter
, Nov. 17, 1969.

Kaplan, Michael (2002). “The High Tech Perfecta.”
Wired
, Mar. 2002.

———(2003). “The Hundred and Fifty Million Dollar Man.”
Cigar Aficionado
, Nov.–Dec. 2003.

Kargin, Vladislav (2004). “Optimal Convergence Trading.” econwpa.wustl.edu/eprints/fin/papers/0401/0401003.pdf.

Kassouf, Sheen T. (1965). “A Theory and an Econometric Model for Common Stock Purchase Warrants.” Doctoral thesis, Columbia University, New York.

Kelly, J. L., Jr. (1956). “A New Interpretation of Information Rate.”
Bell System Technical Journal
, 917–26.

———, and O. G. Selfridge (1962), “Sophistication in Computers: A Disagreement.”
IRE Transactions on Information Theory
, Feb. 1962, 78–80.

“J. L. Kelly, Physicist, 41” (obituary) (1965).
Newark Evening News
, Mar. 19, 1965, 15.

Kendall, Maurice G. (1953). “The Analysis of Time Series, Part I: Prices.”
Journal of the Royal Statistical Society
96:11–25.

Keynes, John Maynard (1921).
A Treatise on Probability
. London: Macmillan.

———(1983).
The Collected Writings of John Maynard Keynes
. Ed. Donald Moggridge. New York: Cambridge University Press.

Kinkead, Gwen (1984). “Ivan Boesky, Money Machine.”
Fortune
, Aug. 6, 1984, 102–4.

Kurson, Ken (1999a). “Babe in the Woods.”
Esquire
, June 1999, 40–45.

———(1999b). “What a Card!”
Worth
, Sept. 1999, 39–41.