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In The Leverage Space Trading Model, quantitative portfolio analysis expert Ralph Vince takes the Leverage Space Model he presented in The Handbook of Portfolio Mathematics and brings it into entirely new territory. As Vince shows here, even if a trader doesn't use margin, he or she is still using leverage. Leverage refers to the schedule upon which an asset position is increased or decreased over time as an equity account fluctuates. Traditional models do not reflect real-world actualities of cash versus the position and the schedule of adding or lightening that position. In this book, Vince shows that geometric returns (the "space") matter more than arithmetic returns and presents a paradigm that seeks to maximize the probability of being profitable as opposed to maximizing profits. Because this paradigm seems to minimize losses, which we are hardwired to do, it is ultimately easier to implement and stick to.
Ralph Vince (Cleveland, OH) is a computer programmer and author of The Handbook of Portfolio Mathematics (978-0-471-75768-9), Portfolio Management Formulas (978-0-471-52756-5), The Mathematics of Money Management (978-0-471-54738-9), and The New Money Management (978-0-471-04307-2), all from Wiley.
In The Leverage Space Trading Model, quantitative portfolio analysis expert Ralph Vince takes the Leverage Space Model he presented in The Handbook of Portfolio Mathematics and brings it into entirely new territory. As Vince shows here, even if a trader doesn't use margin, he or she is still using leverage. Leverage refers to the schedule upon which an asset position is increased or decreased over time as an equity account fluctuates. Traditional models do not reflect real-world actualities of cash versus the position and the schedule of adding or lightening that position. In this book, Vince shows that geometric returns (the "space") matter more than arithmetic returns and presents a paradigm that seeks to maximize the probability of being profitable as opposed to maximizing profits. Because this paradigm seems to minimize losses, which we are hardwired to do, it is ultimately easier to implement and stick to.
Ralph Vince (Cleveland, OH) is a computer programmer and author of The Handbook of Portfolio Mathematics (978-0-471-75768-9), Portfolio Management Formulas (978-0-471-52756-5), The Mathematics of Money Management (978-0-471-54738-9), and The New Money Management (978-0-471-04307-2), all from Wiley.
RALPH VINCE is a computer programmer who 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. He currently consults with businesses and trading operations around the world and speaks frequently in front of professional and academic groups globally. Vince has been critically acclaimed for his groundbreaking work in money management, particularly in the development of Optimal f. He is the author of numerous Wiley titles, including The Handbook of Portfolio Mathematics, Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management.
Preface ix
Introduction 1
Part I The Single Component Case: Optimal f 7
Chapter 1 The General History of Geometric Mean Maximization 9
Chapter 2 The Ineluctable Coordinates 21
Chapter 3 The Nature of the Curve 29
Part II The Multiple Component Case: The Leverage Space Portfolio Model 59
Chapter 4 Multiple, Simultaneous f-''Leverage Space'' 61
Chapter 5 Risk Metrics in Leverage Space and Drawdown 89
Part III The Leverage Space Praxis 139
Chapter 6 A Framework to Satisfy Both Economic Theory and Portfolio Managers 141
Chapter 7 Maximizing the Probability of Profit 157
Bibliography 183
Index 187
| Erscheinungsjahr: | 2009 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 208 S. |
| ISBN-13: | 9780470455951 |
| ISBN-10: | 0470455950 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Vince, Ralph |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 235 x 157 x 16 mm |
| Von/Mit: | Ralph Vince |
| Erscheinungsdatum: | 01.05.2009 |
| Gewicht: | 0,456 kg |
RALPH VINCE is a computer programmer who 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. He currently consults with businesses and trading operations around the world and speaks frequently in front of professional and academic groups globally. Vince has been critically acclaimed for his groundbreaking work in money management, particularly in the development of Optimal f. He is the author of numerous Wiley titles, including The Handbook of Portfolio Mathematics, Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management.
Preface ix
Introduction 1
Part I The Single Component Case: Optimal f 7
Chapter 1 The General History of Geometric Mean Maximization 9
Chapter 2 The Ineluctable Coordinates 21
Chapter 3 The Nature of the Curve 29
Part II The Multiple Component Case: The Leverage Space Portfolio Model 59
Chapter 4 Multiple, Simultaneous f-''Leverage Space'' 61
Chapter 5 Risk Metrics in Leverage Space and Drawdown 89
Part III The Leverage Space Praxis 139
Chapter 6 A Framework to Satisfy Both Economic Theory and Portfolio Managers 141
Chapter 7 Maximizing the Probability of Profit 157
Bibliography 183
Index 187
| Erscheinungsjahr: | 2009 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 208 S. |
| ISBN-13: | 9780470455951 |
| ISBN-10: | 0470455950 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Vince, Ralph |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 235 x 157 x 16 mm |
| Von/Mit: | Ralph Vince |
| Erscheinungsdatum: | 01.05.2009 |
| Gewicht: | 0,456 kg |
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