In The Leverage Space Trading Model, Vince offers a groundbreaking contribution to the literature that builds on a lifetime of expert analysis to deliver not only a superior new portfolio model, but takes the entire discipline of portfolio management to a new level.
In this book, Vince?who has made many important intellectual contributions to the field for over two decades?departs radically from informed orthodoxy to present an entirely new approach to portfolio management. At its core, The Leverage Space Trading Model basically tells how resources should be combined to maximize safety and profitability given the dictates of the real world. But, as the author points out, given the complex and seemingly pathological character of human desires, we are presented with a fascinating puzzle. Research has found that human beings do not primarily want to maximize gains?our psychological makeup is such that we instead tend to possess seemingly more complex desires. If the models don't work, if we are ultimately unable to satisfy our more complex desires, what's the alternative? As Vince shows, the answer is to utilize the Leverage Space Model as a "framework" to achieve the specific ends a trader or portfolio manager seeks.
The author's new allocation paradigm avoids the troubles that come with mean variance models?which most models are?and quantifies drawdowns to achieve a growth-optimal portfolio within a given drawdown constraint, in a manner that satisfies these seemingly pathological human desires. And for those who don't wish to get involved with the mathematics, Vince has presented the text in a manner of two congruent, simultaneous channels, with math and without.
Most simply put, this book will change how you think about money management and portfolio allocations.
Part I The Single Component Case: Optimal f 7
Chapter 1 The General History of Geometric Mean Maximization 9
Chapter 2 The Ineluctable Coordinates 21
Chapter 3 The Nature of the Curve 29
Part II The Multiple Component Case: The Leverage Space Portfolio Model 59
Chapter 4 Multiple, Simultaneous f - ‘‘Leverage Space’’ 61
Chapter 5 Risk Metrics in Leverage Space and Drawdown 89
Part III The Leverage Space Praxis 139
Chapter 6 A Framework to Satisfy Both Economic Theory and Portfolio Managers 141
Chapter 7 Maximizing the Probability of Profit 157