Cover image for Portfolio management formulas : mathematical trading methods for the futures, options, and stock markets
Title:
Portfolio management formulas : mathematical trading methods for the futures, options, and stock markets
Author:
Vince, Ralph, 1958-
Personal Author:
Publication Information:
New York : Wiley, [1990]

©1990
Physical Description:
xxv, 253 pages : illustrations ; 24 cm.
Language:
English
ISBN:
9780471527565
Format :
Book

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HG6046 .V56 1990 Adult Non-Fiction Central Closed Stacks
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Summary

Summary

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.


Table of Contents

The Random Process and Gambling Theory
Systems and Optimization
Reinvestment of Returns and Geometric Growth Concepts
Optimal Fixed Fractional Trading
Risk of Ruin
The Total Portfolio Approach
Covering the Periphery
Appendices
Bibliography and Suggested Reading
Index