The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage (Ralph Vince 2007-05-25)

[blue99]

Book Description

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 you're serious about making money in today'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 'edge' in the marketplace and ways of handling 'risk,' 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 world'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 investor'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, www.BollingerBands.com: Homepage

From the Inside Flap

Ralph Vince has made many contributions to the world of money management in trading over the course of his career, and his thoughts on this subject have captured the attention of both financial professionals and savvy individual traders alike. In The Handbook of Portfolio Mathematics, Vince outlines the essential elements found in his first three groundbreaking books—Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management—and then presents you with new insights that will allow you to implement his ideas in real-world trading situations. For instance, this book discusses drawdown beyond any discussion of drawdown to date. Vince's new portfolio model, the Leverage Space Model, uses drawdown as its risk metric, as opposed to conventional methods which use variance in returns. The result is a portfolio model far superior to any of its predecessors—some of which have been in use throughout the industry for over half a century.
While the first part of this book is purely conceptual, it is also exhaustive in that sense; not on portfolio construction in general, but rather, on portfolio construction in terms of optimal position sizes along the lines of an Optimal f approach. But The Handbook of Portfolio Mathematics goes far beyond theoretical principles; it quickly takes you from basic gambling theory and statistics, through the introduction of the Kelly criterion, Optimal f, and finally onto the leverage space portfolio model for multiple-simultaneous positions. The Handbook of Portfolio Mathematics also tackles the mathematical puzzle posed by attempting to employ such complex concepts and includes discussions of:

• How the Optimal f framework can be applied with regard to risk of financial ruin and its more familiar, and real-world-applicable cousin, 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 systems management—that seem to be shared among the more successful commodities funds

The Handbook of Portfolio Mathematics is not entirely about trading the markets. It's about very basic, mathematical laws and how they affect us when we engage in a stream of risk-related outcomes that we don't have any control over. Written in an engaging and informative style, this book will guide you through a maze of complex theoretical issues, while arming you with a set of distinct formulas that can be used to achieve optimal fund allocation 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.

Preface. Introduction.
PART I. Theory.
Chapter 1. The Random Process and Gambling Theory.
Chapter 2. Probability Distributions.
Chapter 3. Revinvestment of Returns and Geometric Growth Concepts.
Chapter 4. Optimal ƒ.
Chapter 5. Characteristics of Optimal ƒ.
Chapter 6. Laws of Growth, Utility, and Finite Streams.
Chapter 7. Classical Porfolio Construction.
Chapter 8. The Geometry of Mean Variance Portfolios.
Chapter 9. The Leverage Space Model.
Chapter 10. The Geometry of Leverage Space Portfolios.
PART II. PRACTICE.
Chapter 11. What the Professionals Have Done.
Chapter 12. The Leverage Space Portfolio Model in the Real World.
Postscript.
Index.

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[joe_DOM]

Blue99:

In order to quickly award your book contribution, here are a few things I have seen in your post that needs to be properly fixed.

1. Center the image horizontally
2. Put the image in the center of the text body, so it has half the text on top and the other half at the bottom.
3. Remove this text: "### UPLOAD TO HTTP://WWW.MEDIAFIRE.COM AND PUT LINK HERE ###" This text is to indicate where you need to place the download link, it is meant to be deleted !

Joe_DOM

[yosewe]

Updated:
- fixed the wrong title. You haven't put the author and date information
- Use [hide] tag to hide the download link section (important part only), not the whole part.
- there is no table of contents. Try to get this piece of information on other book sites.
- fixed. You didn't specify whether or not you use our standard password

[Syprik]

For those new or old to trading, if you are serious about your profession/hobby, it is highly recommended that you put time into reading this important literature. I was very surprised to see this available here on the forum as an official pdf release (not a scanned book into pdf). I personally purchased the ~$80 hardcover when it was first released last year, and consider it one of the best titles on my shelf. It helped me develop a good optimal f money management algorithm for trading index future contracts (ex, position size). It is heavy reading at times, so you may find yourself re-reading sections.

Even though it is absolutely necessary to have a strategy edge while trading, money management is considerably more important. Many only realize this after years of trading.