"For the serious investor, trader, or money manager, this book takes a rewarding look into modern portfolio theory. Vince introduces a leverage–space portfolio model, tweaks it for the drawdown probability, and delivers a superior model. He even provides equations to maximize returns for a chosen level of risk. So if you′re serious about making money in today′s markets, buy this book. Read it. Profit from it."
—Thomas N. Bulkowski, author, Encyclopedia of Chart Patterns
"This is an important book. Though traders routinely speak of their ′edge′ in the marketplace and ways of handling ′risk,′ few can define and measure these accurately. In this book, Ralph Vince takes readers step by step through an understanding of the mathematical foundations of trading, significantly extending his earlier work and breaking important new ground. His lucid writing style and liberal use of practical examples make this book must reading."
—Brett N. Steenbarger, PhD, author, The Psychology of Trading and Enhancing Trader Performance
"Ralph Vince is one of the world′s foremost authorities on quantitative portfolio analysis. In this masterly contribution, Ralph builds on his early pioneering findings to address the real–world concerns of money managers in the trenches—how to systematically maximize gains in relation to risk."
—Nelson Freeburg, Editor, Formula Research
"Gambling and investing may make strange bedfellows in the eyes of many, but not Ralph Vince, who once again demonstrates that an open mind is the investor′s most valuable asset. What does bet sizing have to do with investing? The answer to that question and many more lie inside this iconoclastic work. Want to make the most of your investing skills? Open this book."
—John Bollinger, CFA, CMT, [external URL]
PART I. Theory.
Chapter 1. The Random Process and Gambling Theory.
Chapter 2. Probability Distributions.
Chapter 3. Revinvestment of Returns and Geometric Growth Concepts.
Chapter 4. Optimal ƒ.
Chapter 5. Characteristics of Optimal ƒ.
Chapter 6. Laws of Growth, Utility, and Finite Streams.
Chapter 7. Classical Porfolio 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.
Ralph Vince got his start in the trading business as a margin clerk, and later worked as a consultant programmer to large futures traders and fund managers. Vince is also the author of Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management, also from Wiley. Numerous software companies have incorporated Vince′s ideas into their products. Vince is an ultra–marathon runner and jiu jitsu black belt.