Portfolio Management Formulas Mathematical Trading Methods For The Futures Options And Stock Markets Author - Ralph Vince Nov 1990 [new]

Guide: Portfolio Management Formulas — Mathematical Trading Methods (Ralph Vince, Nov 1990)

Overview

• Book: Portfolio Management Formulas — Mathematical Trading Methods for the Futures, Options and Stock Markets
• Author: Ralph Vince
• Publication: November 1990
• Scope: Mathematical position-sizing, money management, optimal bet sizing, risk of ruin, and portfolio growth—applies to trading futures, options, and stocks.

Vince addresses the last point by introducing "Secure f" – a lower, more conservative fraction that reduces drawdown by 90% while only sacrificing 20% of the growth.

2. The Kelly Criterion Formula: The Kelly Criterion formula is:

Risk of Ruin and Total Portfolio Approach: Managing the catastrophic downside of aggressive leverage. Practical Considerations Vince addresses the last point by introducing "Secure