Fortune's Formula (44 page)

———(2003). “Ed Thorp: Having an Edge on the Market.”
Esquire
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Laing, Jonathan R. (1974). “Computer Formulas Are One Man’s Secret to Success in Market.”
Wall Street Journal
, Sept. 23, 1974, 1+.

Lait, Jack, and Lee Mortimer (1950).
Chicago Confidential
. New York: Crown.

Latané, Henry A. (1959). “Criteria for Choice Among Risky Ventures.”
Journal of Political Economy
, Apr. 1959, 144–55.

———(1978). “The Geometric-Mean Principle Revisited: A Reply.”
Journal of Banking and Finance
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Lewbel, Arthur (2001). “A Personal Tribute to Claude Shannon.” www.people.cornell.edu/pages/jc353/a_personal_tribute_to_claude_sha.ht.

Lewis, Michael (1989).
Liar’s Poker
. New York: Norton.

———(1999). “How the Eggheads Cracked.”
New York Times Magazine
, Jan. 24, 1999.

Liversidge, Anthony (1987). “Interview: Claude Shannon.”
Omni
, Aug. 1987. I have quoted from the partly edited transcript of Liversidge’s interview, dated August 21, 1986, which is in the Shannon collection at the Library of Congress.

———(1988). “Interview: Edward Thorp.”
Omni
, Sept. 1988, 68–78.

Loomis, Carol J. (1966). “The Jones Nobody Keeps Up With.”
Fortune
, Apr. 1966, 237–47.

———(1998). “A House Built on Sand.”
Fortune
, Oct. 26, 1998, 110–19.

———(2003). “Doing the Hedge Fund Hustle.”
Fortune
, Mar. 31, 2003, 117+.

Lowenstein, Roger (2000).
When Genius Failed: The Rise and Fall of Long-Term Capital Management
. New York: Random House.

Markowitz, Harry M. (1952). “Portfolio Selection.”
Journal of Finance
12, no. 1:77–91.

———(1959).
Portfolio Selection
. New York: Wiley.

———(1970).
Portfolio Selection
. 2nd ed. New Haven: Yale University Press.

———(1972). “Investment for the Long Run.” Rodney L. White Center for Financial Research Working Paper No. 20–72.

———(1976). “Investment for the Long Run: New Evidence for an Old Rule.”
Journal of Finance
, Dec. 1976, 1273–86.

Maxwell, James Clerk (1871).
Theory of Heat
. Westport, Conn.: Greenwood Press, 1970 (reprint).

May, Allan (1999). “The History of the Race Wire Service.” www.americanmafia.com/Allan_May_5-31-99.html.

McEnally, Richard W. (1986). “Latané’s Bequest: The Best of Portfolio Strategies.”
Journal of Portfolio Management
, Winter 1986, 21–30.

McLuhan, Marshall (1964).
Understanding Media: The Extensions of Man
. New York: McGraw-Hill.

Merton, Robert C. (1976). “Option Pricing When Underlying Returns Are Discontinuous.”
Journal of Finance
31:124–44.

———(1990).
Continuous-Time Finance
. Oxford: Basil Blackwell.

———and Paul A. Samuelson (1974). “Fallacy of the Log-Normal Approximation of Optimal Portfolio Decision-Making over Many Periods.”
Journal of Financial Economics
1.

Miller, Merton (1996). “The Social Costs of Some Recent Derivatives Disasters.”
Pacific-Basin Finance Journal
, July 1996, 113–27.

Mossin, Jan (1968). “Optimal Multiperiod Portfolio Policies.”
Journal of Business
41:215–29.

Munchkin, Richard W. (2002).
Gambling Wizards
. Las Vegas: Huntington Press.

O’Brien, Timothy (1998). “When Economic Bombs Drop, Risk Models Fail.”
New York Times
, Oct. 4, 1998.

O’Neil, Paul (1964). “The Professor Who Breaks the Bank.”
Life
, Mar. 27, 1964, 80–91.

Ophir, Tsvi (1978). “The Geometric-Mean Principle Revisited.”
Journal of Banking and Finance
2:103–7.

———(1979). “The Geometric-Mean Principle Revisited: A Reply to a ‘Reply.’”
Journal of Banking and Finance
3:301–3.

Ordentlich, Erik, and Thomas M. Cover (1998). “The Cost of Achieving the Best Portfolio in Hindsight.”
Mathematics of Operations Research
23, no. 4:960–82.

Patterson, John (2003). “The Player.”
The Guardian
, Jan. 24, 2003.

Perold, André F. (1999). “Long-Term Capital Management, L.P.” Harvard Business School. www.hbsp.harvard.edu.

Pierce, John R. (1980).
An Introduction to Information Theory: Symbols, Signals and Noise
. New York: Dover, 1980. (Revised edition of 1961 book titled
Symbols, Signals and Noise
.)

Quaife, Art (1993). “Rational Portfolio Determination.”
Trans Times
, Aug. 1993.

“Reflections of Some Shannon Lecturers” (various authors, 1998).
IEEE Information Theory Society Newsletter
, Summer 1998, 16–21.

Reid, Ed, and Ovid Demaris (1963).
The Green Felt Jungle
. New York: Trident Press.

Roberts, Stanley (1978). “Welcome, Dr. Thorp.”
Gambling Times
, Aug. 1978, 11–14.

Rogers, Everett M. (n.d.). “Claude Shannon’s Cryptography Research During World War II and the Mathematical Theory of Communication.”

Roll, Richard (1988). “R
²
.”
Journal of Finance
43:541–66.

———, and Robert J. Shiller (1992). “Comments: Symposium on Volatility in U.S. and Japanese Stock Markets.”
Journal of Applied Corporate Finance
5:25–29.

Rotando, Louis M., and Edward O. Thorp (1992). “The Kelly Criterion and the Stock Market.”
American Mathematical Monthly
, Dec. 1992, 922–31.

Rubinstein, Mark (1975). “The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets.” UC Berkeley Research Program in Finance, Working Paper No. 34.

———(1987). “No ‘Best’ Strategy for Portfolio Insurance.”
Financial Analysts Journal
, Nov.–Dec. 1987.

———(1988). “Comments on the Market Crash: Six Months After.”
Journal of Economic Perspectives
, Aug. 1988.

———(1991). “Continuously Rebalanced Investment Strategies.”
Journal of Portfolio Management
, Fall 1991.

Ruchman, Peter (2000). “I’m Counting On You—How BJ Counting Really Started, Part III.” CasinoGaming.com, May 21, 2000. (Ruchman 2001 modifies some of the statements made in this article.)

———(2001). “Thorp Steps Up to the Plate.” CasinoGaming.com, Apr. 1, 2001.

Samuelson, Paul A. (1963). “Risk and Uncertainty: A Fallacy of Large Numbers.”
Scientia
, Apr.–May 1963. Also no. 16 in
Collected Scientific Papers
.

———(1966).
The Collected Scientific Papers of Paul Samuelson
. Cambridge, Mass.: MIT Press.

———(1967). “General Proof That Diversification Pays.”
Journal of Financial and Quantitative Analysis
, Mar. 1967, 1–13.

———(1968). “Beat the Market: A Scientific Stock Market System” (review).
Journal of the American Statistical Association
, Sept. 1968, 1049–51.

———(1969). “Lifetime Portfolio Selection by Dynamic Stochastic Programming.”
Review of Economics and Statistics
, Aug. 1969, 239–46.

———(1971). “The ‘Fallacy’ of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling.”
Proceedings of the National Academy of Sciences
68:2493–96.

———(1973). “Mathematics of Speculative Price.”
SIAM Review
15:1–42.

———(1974). “Challenge to Judgment.”
Journal of Portfolio Management
1 (Fall 1974): 17–19.

———(1979). “Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long.”
Journal of Banking and Finance
3:305–307.

———(1983).
Paul Samuelson and Modern Economic Theory
. Eds. Cary E. Brown and Robert M. Solow. New York: McGraw-Hill.

Savage, Leonard J. (1954).
The Foundations of Statistics
. New York: Wiley.

Schine, Eric (1989). “You Just Can’t Keep Ed Thorp Down.”
Business Week
, Aug. 21, 1989, 83.

Schwed, Fred, Jr. (1940).
Where Are the Customers’ Yachts?
New York: Simon and Schuster.

Sender, Henny, and Jason Singer (2003). “Collapse of Eifuku Master Trust Happened in Seven Trading Days.”
Wall Street Journal
, Apr. 10, 2003.

Serwer, Andy (2003). “Where the Money’s Really Made.”
Fortune
, Mar. 31, 2003, 106+.

Shannon, Claude Elwood. Manuscript collection. Library of Congress.

———(1948). “A Mathematical Theory of Communication.”
Bell System Technical Journal
, July and Oct. 1948, 379–423, 623–56.

———(1949).
The Mathematical Theory of Communication
. Urbana: University of Illinois Press.

———(1956a). “The Bandwagon.”
IRE Transactions on Information Theory
, June 1956, 3.

———(1956b). “The Portfolio Problem.” Unpublished lecture notes, Shannon’s papers, LOC.

———(1993).
Claude Elwood Shannon: Collected Papers.
Eds. Neil J. A. Sloane and Aaron D. Wyner. New York: IEEE Press.

Sharpe, William F. (1964). “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.”
Journal of Finance
19, no. 3:425–42.

———(1991). “The Arithmetic of Active Management.”
Financial Analysts Journal
, Jan.–Feb. 1991, 7–9.

Shiller, Robert J. (2000).
Irrational Exuberance
. Princeton, N.J.: Princeton University Press.

Smith, Harold S., Sr., with John Wesley Noble (1961).
I Want to Quit Winners
. Englewood Cliffs, N.J.: Prentice Hall, 1961.

Snyder, Arnold (1983, 1998, 2003).
The Great Blackjack Hoax
. www.bjfonline.com/chpt1.cfm.

Spanier, David (1988).
Easy Money: Inside the Gambler’s Mind
. London: Secker and Warburg.

Stewart, James B. (1991).
Den of Thieves
. New York: Simon and Schuster.

Stuart, Mark A. (1985).
Gangster #2: Longy Zwillman, the Man Who Invented Organized Crime
. Secaucus, N.J.: Lyle Stuart.

Sullivan, William C. (1979).
The Bureau: My Thirty Years in Hoover’s FBI
. New York: Norton.

Summers, Anthony (1993).
Official and Confidential: The Secret Life of J. Edgar Hoover
. New York: Putnam.

Taylor, John H. (1991). “A Three-Time Winner.”
Forbes
, Nov. 25, 1991, 96–98.

Thorp, Edward O. (1959). “The Relation Between a Compact Linear Operator and Its Conjugate.”
American Mathematical Monthly
66:764–69.

———(1961). “A Favorable Strategy for Twenty-one.”
Proceedings of the National Academy of Sciences
47:110–12.

———(1962). “A Prof Beats the Gamblers.”
Atlantic Monthly
, June 1962, 41–46.

———(1966).
Beat the Dealer: A Winning Strategy for the Game of Twenty-one
. New York: Random House (revised edition of 1962 book).