The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage


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Description
It’s always back there, bubbling away. It seems I cannot shut off my mind from it. Every conversation I ever have, with programmers and traders, engineers and gamblers, Northfield Park Railbirds and Warrensville Workhouse jailbirds—those equations that describe these very things are cast in this book.

Let me say I amaverse to gambling. I amaverse to the notion of creating risk where none need exist, averse to the idea of attempting to be rewarded in the absence of creating or contributing something (or worse yet, taxing a man’s labor!). Additionally, I find amorality in charging or collecting interest, and the absence of this innate sense in others riles me.

This book starts out as a compilation, cleanup, and in some cases, reformulation of the previous books I have written on this subject. I’m standing on big shoulders here. The germ of the idea of those previous books can trace its lineage to my good friend and past employer, LarryWilliams. In the dust cloud of his voracious research, was the study of the Kelly Criterion, and how that might be applied to trading. What followed over the coming years then was something of an explosion in that vein, culminating in a better portfolio model than the one which is still currently practiced.

Content:-
Preface
Introduction
PART I: Theory
CHAPTER 1: The Random Process and Gambling Theory
CHAPTER 2: Probability Distributions
CHAPTER 3: Reinvestment of Returns and Geometric Growth Concepts
CHAPTER 4: Optimal f
CHAPTER 5: Characteristics of Optimal f
CHAPTER 6: Laws of Growth, Utility, and Finite Streams
CHAPTER 7: Classical Portfolio 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

Author Details
"RALPH VINCE"




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