The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage

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9780471757689: The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage
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The Handbook of Portfolio Mathematics

"For the serious investor, trader, or money manager, this booktakes a rewarding look into modern portfolio theory. Vinceintroduces a leverage-space portfolio model, tweaks it for thedrawdown probability, and delivers a superior model. He evenprovides equations to maximize returns for a chosen level of risk.So if you're serious about making money in today's markets, buythis book. Read it. Profit from it."
—Thomas N. Bulkowski, author, Encyclopedia of ChartPatterns

"This is an important book. Though traders routinely speak oftheir 'edge' in the marketplace and ways of handling 'risk,' fewcan define and measure these accurately. In this book, Ralph Vincetakes readers step by step through an understanding of themathematical foundations of trading, significantly extending hisearlier work and breaking important new ground. His lucid writingstyle and liberal use of practical examples make this book mustreading."
—Brett N. Steenbarger, PhD, author, The Psychology ofTrading and Enhancing Trader Performance

"Ralph Vince is one of the world's foremost authorities onquantitative portfolio analysis. In this masterly contribution,Ralph builds on his early pioneering findings to address thereal-world concerns of money managers in the trenches-how tosystematically maximize gains in relation to risk."
—Nelson Freeburg, Editor, Formula Research

"Gambling and investing may make strange bedfellows in the eyesof many, but not Ralph Vince, who once again demonstrates that anopen mind is the investor's most valuable asset. What does betsizing have to do with investing? The answer to that question andmany more lie inside this iconoclastic work. Want to make the mostof your investing skills Open this book."
—John Bollinger, CFA, CMT, www.BollingerBands.com

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From the Inside Flap:

Ralph Vince has made many contributions to the world of moneymanagement in trading over the course of his career, and histhoughts on this subject have captured the attention of bothfinancial professionals and savvy individual traders alike. In TheHandbook of Portfolio Mathematics, Vince outlines the essentialelements found in his first three groundbreakingbooks—Portfolio Management Formulas, The Mathematics of MoneyManagement, and The New Money Management—and then presents youwith new insights that will allow you to implement his ideas inreal-world trading situations. For instance, this book discussesdrawdown beyond any discussion of drawdown to date. Vince's newportfolio model, the Leverage Space Model, uses drawdown as itsrisk metric, as opposed to conventional methods which use variancein returns. The result is a portfolio model far superior to any ofits predecessors—some of which have been in use throughout theindustry for over half a century.

While the first part of this book is purely conceptual, it isalso exhaustive in that sense; not on portfolio construction ingeneral, but rather, on portfolio construction in terms of optimalposition sizes along the lines of an Optimal f approach. But TheHandbook of Portfolio Mathematics goes far beyond theoreticalprinciples; it quickly takes you from basic gambling theory andstatistics, through the introduction of the Kelly criterion,Optimal f, and finally onto the leverage space portfolio model formultiple-simultaneous positions. The Handbook of PortfolioMathematics also tackles the mathematical puzzle posed byattempting to employ such complex concepts and includes discussionsof:

  • How the Optimal f framework can be applied with regard to riskof financial ruin and its more familiar, and real-world-applicablecousin, risk of drawdown

  • Reinvestment of returns and geometric growth issues

  • Laws of growth, utility, and finite streams

  • Classical portfolio construction

  • The geometry of mean variance portfolios

  • The common denominators—in terms of portfolio and systemsmanagement—that seem to be shared among the more successfulcommodities funds

The Handbook of Portfolio Mathematics is not entirely abouttrading the markets. It's about very basic, mathematical laws andhow they affect us when we engage in a stream of risk-relatedoutcomes that we don't have any control over. Written in anengaging and informative style, this book will guide you through amaze of complex theoretical issues, while arming you with a set ofdistinct formulas that can be used to achieve optimal fundallocation and leverage, as well as maximum portfolio returns.

About the Author:

Ralph Vince got his start in the trading business as a margin clerk, and later worked as a consultant programmer to large futures traders and fund managers. Vince is also the author of Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management, also from Wiley. Numerous software companies have incorporated Vince's ideas into their products. Vince is an ultra-marathon runner and jiu jitsu black belt.

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Book Description John Wiley & Sons Inc, United States, 2007. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. The Handbook of Portfolio Mathematics "For the serious investor, trader, or money manager, this book takes a rewarding look into modern portfolio theory. Vince introduces a leverage--space portfolio model, tweaks it for the drawdown probability, and delivers a superior model. He even provides equations to maximize returns for a chosen level of risk. So if youa re serious about making money in todaya s markets, buy this book. Read it. Profit from it." --Thomas N. Bulkowski, author, Encyclopedia of Chart Patterns "This is an important book. Though traders routinely speak of their a edgea in the marketplace and ways of handling a risk,a few can define and measure these accurately. In this book, Ralph Vince takes readers step by step through an understanding of the mathematical foundations of trading, significantly extending his earlier work and breaking important new ground. His lucid writing style and liberal use of practical examples make this book must reading." --Brett N. Steenbarger, PhD, author, The Psychology of Trading and Enhancing Trader Performance "Ralph Vince is one of the worlda s foremost authorities on quantitative portfolio analysis.In this masterly contribution, Ralph builds on his early pioneering findings to address the real--world concerns of money managers in the trenches--how to systematically maximize gains in relation to risk." --Nelson Freeburg, Editor, Formula Research "Gambling and investing may make strange bedfellows in the eyes of many, but not Ralph Vince, who once again demonstrates that an open mind is the investora s most valuable asset. What does bet sizing have to do with investing? The answer to that question and many more lie inside this iconoclastic work. Want to make the most of your investing skills Open this book." --John Bollinger, CFA, CMT, Seller Inventory # AAH9780471757689

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Book Description John Wiley & Sons Inc, United States, 2007. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. The Handbook of Portfolio Mathematics "For the serious investor, trader, or money manager, this book takes a rewarding look into modern portfolio theory. Vince introduces a leverage--space portfolio model, tweaks it for the drawdown probability, and delivers a superior model. He even provides equations to maximize returns for a chosen level of risk. So if youa re serious about making money in todaya s markets, buy this book. Read it. Profit from it." --Thomas N. Bulkowski, author, Encyclopedia of Chart Patterns "This is an important book. Though traders routinely speak of their a edgea in the marketplace and ways of handling a risk,a few can define and measure these accurately. In this book, Ralph Vince takes readers step by step through an understanding of the mathematical foundations of trading, significantly extending his earlier work and breaking important new ground. His lucid writing style and liberal use of practical examples make this book must reading." --Brett N. Steenbarger, PhD, author, The Psychology of Trading and Enhancing Trader Performance "Ralph Vince is one of the worlda s foremost authorities on quantitative portfolio analysis.In this masterly contribution, Ralph builds on his early pioneering findings to address the real--world concerns of money managers in the trenches--how to systematically maximize gains in relation to risk." --Nelson Freeburg, Editor, Formula Research "Gambling and investing may make strange bedfellows in the eyes of many, but not Ralph Vince, who once again demonstrates that an open mind is the investora s most valuable asset. What does bet sizing have to do with investing? The answer to that question and many more lie inside this iconoclastic work. Want to make the most of your investing skills Open this book." --John Bollinger, CFA, CMT, Seller Inventory # BTE9780471757689

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