Математика управления капиталом. Методы анализа риска для трейдеров и портфельных менеджеров

by Ralph Vince, Ральф Винс

Книга, основанная на теории вероятностей, статистике и современной теории портфеля, рассказывает о том, как использовать различные методы управления капиталом на фьючерсном, валютном, фондовом и других рынках. Концепции, изложенные в этой книге, в большинстве своем просты, как и практические примеры, наглядно иллюстрирующие их использование в торговле. Сочетая практику современной теории портфеля с концепцией оптимального f, автор показывает, как соизмерять ставки и возможные последствия торговых решений. Стратегии, рассмотренные в этой книге, позволяют определять оптимальное количество контрактов для торговли на любых рынках, максимизировать прибыль при торговле с реинвестированием, рассчитывать весовые коэффициенты компонентов инвестиционного портфеля. Книга ориентирована на профессиональных трейдеров и аналитиков, частных и институциональных инвесторов, работающих на фондовом рынке, рынке FOREX, а также на рынках фьючерсов и опционов.

Genres: Finance, Mathematics

400 pages, Hardcover

First published April 17, 1992

Reviews

[Tech Nossomy · Rating 3 out of 5]

One of the few trading books that places position sizing at the heart of the subject matter. The book is overly verbose however, with entry-level mathematics to prove the point. As a result mathematical rigour is missing, with many value statements or misunderstandings, such as:
* The Normal Distribution accurately models many phenomena.
* Skewness alters location [of the mean, mode and median].

Some of the larger shortcomings:
* The book does not actually objectively define what optimal-f is, but opens with a formula on how to compute it and continues with a qualitative description.
* The book places much emphasis on the normal distribution, the central limit theorem and the Black-Scholes pricing formula, but without caveating their suitability within trading or risk management systems.
* The book also gives an expose of the efficient market hypothesis, a theory which has been debunked many times.
* The lognormal distribution is poorly introduced: its description and role in a trading system is given rather qualitatively and without any mathematical basis.
* The book is also showing its age, for example through the use of the BASIC programming language rather than a pseudo-code language or spreadsheet formulas.
* Many times the author claims to have proven something, whereas in reality some examples have been shown that support the point, but that is not the same as a proof.
* No word is spent on data-management: to substantiate the points made on the efficient market hypothesis for example, much data is needed, but how this data can or should be managed is left as an academic discussion and apparently unworthy of explanation.
* There is no chapter that summarises the strategies outlined in the main chapters, showing how a comprehensive trading system can be developed with instrument-specific position sizes.

[Katja Riya · Rating 3 out of 5]

I was really inspired in the beginning, making notes about all those game theory - mathematical expectation stuff.. but then complex tons of maths killed my interest.
Maths is awesome, but I have lost the practical connection (it was too hard for me to apply it in the proper way)
Nevertheless, I have some useful insights that are acceptable to me right now.

[SOMOSORBIS · Rating 3 out of 5]

Libro complicado

No es un libro fácil de entender ni tampoco para principiantes, pienso que es bueno para personas que tengas nociones en matemáticas avanzadas y quiera saber como funciona las probabilidades en el trading

[ALFREDO BALLARINI]

Complesso e discutibile (non in senso completamente negativo) e' tuttavia utile per mettere alla prova le proprie conoscenze in materia e per trovare spunti di approfondimento; purtroppo non riesce ad esporre concetti e formule con la necessaria precisione dei dettagli rendendo necessario un faticoso lavoro di ricostruzione per capire i teoremi esposti. Ma ci sono alcune pagine che dovrebbero essere lette assolutamente da chiunque pero' consiglio di sperimentare sempre i concetti piu' importanti con un simulatore in excel !
Complex and controversial (not in completely negative sense) nevertheless useful to test our knowledge and find opportunity to deepen; unfortunately it is unable to explain concepts and formulas with the required accuracy of the details, so it's necessary to make a difficult job of reconstruction to understand the theorems exposed. But there are some pages that should absolutely be read by anyone. But I recommend to experiment the most important concepts with a simulator in Excel!

[Valentyn Danylchuk · Rating 4 out of 5]

I suggest reading "The Intelligent Investor" first, otherwise this book can get you confused, or draw you into the risky area of speculative trading.

The book is a bit dense but insightful. It deals more with game theory and day trading, but it is also useful for non-speculative (read: sane) investors. It discusses at length the math of portfolio management and diversification.

Money quote: "Diversification, if done properly, is a technique that increases returns. It does not necessarily reduce worst-case drawdowns. This is absolutely contrary to the popular notion."

[Javier Villar · Rating 3 out of 5]

Vince couldn't fare very well with this emphasis on the optimal f. There isn't such thing as optimal. Anyway, besides the complexity, it's worth reading it.

[TimurN · Rating 5 out of 5]

Управление капиталом я бы назвал основой максимизации доходности любой торговой и инвестиционной стратегии.
Основные классические методы в нем разобраны достаточно досконально.

[Lukasz]

recommendation: [App funds](https://appfunds.blogspot.com/2008/06...)