Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options, and Stock Markets

by Ralph Vince

Explores two neglected mathematical tools essential for competing successfully in today's frenzied commodities markets: quantity, which shows the proper amounts a trader should trade for a given market and system, and intercorrelation of returns (diversification), which shows not only which markets and systems to trade, but how to diversify with respect to trading the right quantities for each market. By using these lesser known tools in conjunction with the more popular trade/system selection tools, readers will see mathematically how success in the markets can be achieved, and how ``success'' without using all three is most likely incidental. In addition, non-stationary distribution of profits and losses and drawdowns are incorporated into the discussions to expose traders to the highs and lows of commodities markets and how best to leverage their assets.

Genres: Finance

288 pages, Hardcover

First published October 19, 1990

Reviews

[Javier Villar · Rating 3 out of 5]

This book is as good as it can be on position sizing when one has to choose an f from an strategy that already used an f for design and development. Could this be called "the size paradox"? Well, R-Multiples solve this seeming paradox.

The idea of optimal f is absurd, by the way. I don't even think that it makes sense in hindsight.

[Ne Gu]

hi