Fortune's Formula (45 page)

Read Fortune's Formula Online

Authors: William Poundstone

Tags: #Business & Economics, #Investments & Securities, #General, #Stocks, #Games, #Gambling, #History, #United States, #20th Century

BOOK: Fortune's Formula
9.93Mb size Format: txt, pdf, ePub

———, and Sheen T. Kassouf (1967).
Beat the Market: A Scientific Stock Market System
. New York: Random House.

———(1969). “Optimal Gambling Systems for Favorable Games.”
Review of the International Statistical Institute
37, no. 3:273–93.

———(1971) “Portfolio Choice and the Kelly Criterion.”
Proceedings of the 1971 Business and Economics Section of the American Statistical Association
, 215–24. (Reprinted in Ziemba and Vickson 1975, 599–620.)

———(1973). “Extensions of the Black-Scholes Option Model.”
Contributed Papers, 39th Session of the International Statistical Institute
, 1029–36.

———(1984).
The Mathematics of Gambling
. www.bjmath.com/bjmath/thorp/tog.htm.

———(1997; revised 1998).
The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market
. www.bjmath.com/bjmath/thorp/paper.htm.

———(1998). “The Invention of the First Wearable Computer.” In
Second International Symposium on Wearable Computers
. Los Alamitos, Calif.: IEEE Computer Society. www.computer.org/proceedings/iswc/9074/90740004abs.htm.

———(2001–). “A Mathematician on Wall Street” (column).
Wilmott
.

———(2004–5). “Statistical Arbitrage.”
Wilmott
, Sept. and Nov. 2004, Jan. 2005.

Tobias, Andrew (1984).
Money Angles
. New York: Simon and Schuster.

———(1989). “Too Much Firepower to Fit the Crime?”
Time
, Nov. 20, 1989.

Train, John (1980).
The Money Masters
. New York: Harper & Row.

Tudball, Dan. (2003). “In for the Count.”
Wilmott
, Sept. 2003, 24–35.

Tuohy, John William (2002). “New York Stories” at www.americanmafia.com/Feature_Articles_184.html.

van der Sluis, Pieter Jelle, and Nolke Posthuma (2003). “A Reality Check on Hedge Fund Returns” (working paper). papers.ssrn.com/sol3/papers.cfm?abstract-id=438840.

Vickrey, Vic (1993). “Counting on Blackjack.”
Las Vegas Style
, May 1993, 61, 67.

Vogel, Ed (1999). “Nostalgia Is Not Powerful Enough to Allow Old Clubs Such as Harolds to Survive into the Next Millennium.”
Las Vegas Review-Journal
, Dec. 13, 1999.

von Neumann, John, and Oskar Morgenstern (1944).
Theory of Games and Economic Behavior
. Princeton, N.J.: Princeton University Press.

Waldrop, M. Mitchell (2001). “Claude Shannon: Reluctant Father of the Digital Age.”
Technology Review
, July–Aug. 2001.

Weil, J. R., and W. T. Brannon (2004).
Con Man: A Master Swindler’s Own Story
. New York: Broadway. Originally published in 1948. Describes con games involving racetrack wire services.

Weiss, Kenneth R. (2004). “The Man Behind the Land.”
Los Angeles Times
, Oct. 27, 2004, 1+.

Welborn, Larry (1974). “He Chips Away at Vegas Casinos.”
Orange County Register
, Aug. 18, 1974.

White, Donald K. (1976). “Options Expert Who Hates to Gamble.”
San Francisco Chronicle
, May 26, 1976, 60.

Wilcox, Jarrod (2000). “Better Risk Management,”
Journal of Portfolio Management
, Summer 2000, 53–64.

———(2003). “Harry Markowitz & the Discretionary Wealth Hypothesis.”
Journal of Portfolio Management
, Spring 2003.

———(2004). “Risk Management: Survival of the Fittest.”
Journal of Asset Management
, June 2004, 13–24.

Wiles, Russ, and Cameron P. Hum (1986). “Calculated Risk Taker.” Plaza Communications.

Williams, J. B. (1936). “Speculation and the Carryover.”
Quarterly Journal of Economics
, May 1936, 436–55.

Wilmott, Paul (2001).
Paul Wilmott Introduces Quantitative Finance
. New York: Wiley.

Wolfe, Tom (1961). “Round 2: Math Professor vs. Las Vegas Casinos.”
Detroit News
, datelined Dec. 14, 1961.

Ziemba, William T. (2003).
The Stochastic Programming Approach to Asset, Liability, and Wealth Management
. Charlottesville, Va.: Research Foundation of AIMR.

———, and Donald B. Hausch (1984).
Beat the Racetrack
. San Diego: Harcourt Brace Jovanovich. Revised as
Dr. Z’s Beat the Racetrack
(New York: William Morrow, 1987).

———, and R. G. Vickson, eds. (1975).
Stochastic Optimization Models in Finance
. New York: Academic Press.

ACKNOWLEDGMENTS
 

Ed Thorp has been especially gracious and helpful, contributing time, advice, photocopies, and speedy replies to e-mails. Ed read an early version of the manuscript and helped to improve its accuracy. The Claude Shannon collection at the Library of Congress was an invaluable resource, the more so since Shannon never chose to publish anything on investing. I am particularly indebted to Philip I. Hershberg for asking Shannon many of the questions I would have wanted to ask him. Ben Logan and Manfred Schroeder shared their memories of John Kelly, Jr., and Mr. Logan was responsible for locating the photograph of Kelly.

Thanks also go to Robin Badders, Norma Barzman, Gary Browning, Erin Campbell, Thomas M. Cover, Ed Eckert, Robert Fano, Dave Finnigan, G. David Forney, Jr., Robert Gallager, Adam Grossberg, Nils Hakansson, Larry Hussar, Henry Landau, Bibb Latané, Arthur Lewbel, the staff of the Library of Congress Manuscript Division, Harry M. Markowitz, James Massey, Allan May, Judy McCoy, Robert C. Merton, Marvin Minsky, Ellen Neal, Joe Olive, W. Wesley Peterson, Linda Pringle, Rick Ross, Paul A. Samuelson, Betty Shannon, Neil J. A. Sloane, Kim Spurr, Jarrod Wilcox, Neelima Yeddanapudi, and William T. Ziemba.

Other books

Stars & Stripes by Abigail Roux
Entwine by Rebecca Berto
Everything You Are by Lyes, Evelyn
Frío como el acero by David Baldacci
Ripped by Frederic Lindsay
Unravelled by Anna Scanlon
Silas by V. J. Chambers
Twice as Hot by Gena Showalter