Praise for The Leverage Space Trading Model
"As Warren Buffett said, 'It's only when the tide goes out thatyou learn who's been swimming naked.' We now know that most havebeen. It's too bad that Ralph Vince did not finish his book in 2005or 2006, it would have helped save institutional investors and ournation trillions of dollars; few people understand the rewards ofleverage and its inherent risks like Ralph. As we found out, mosthedge funds and banks use leverage without knowing how to quantifyits risks or rewards. This book is a must-read for anyone using orbeing responsible for risk. Leverage is one of our greatestempowerments."—Salomon Konig, member of the board of directors,Hedge Fund Association, Partner and Chief Investment Officer,Artemis Capital Partners, LLC
"Ralph Vince is almost alone in his study of trade sizing, butthat doesn't mean he isn't right. Traders should read thisbook."—Euan Sinclair, option trader and author ofVolatility Trading
"As we've seen recently, the gross misuse of leverage has been ahard lesson for institutions. But position sizing is critical tothe success of all traders, big and small, and Ralph Vince bringsfresh thinking to an area that badly needs it. He challenges thestatus quo and makes you think about what you're doing. He attacksthe major flaws of MPT. There is no doubt that you'll benefit fromRalph's ideas."—Perry Kaufman, author of New Trading Systems andMethods, Fourth Edition and A Short Course in TechnicalTrading
"If Ralph Vince writes it, I read it...every word, every thoughtthis guy has produced has led me to additional market profits.Money management is clearly the way to the kingdom of wealth in theinvestment world and Ralph gives you the keys in this book."—Larry Williams, trader, fund manager, and author ofTrade Stocks & Commodities with the Insiders: Secrets of theCOT Report and Long-Term Secrets to Short-Term Trading
About the Author
Ralph Vince is a computer programmer who 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. He currently consults with businesses and trading operations around the world and speaks frequently in front of professional and academic groups globally. Vince has been critically acclaimed for his groundbreaking work in money management, particularly in the development of Optimal f. He is the author of numerous Wiley titles, including The Handbook of Portfolio Mathematics, Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management.
Table of Contents
PART I The Single Component Case: Optimal f.
CHAPTER 1 The General History of Geometric MeanMaximization.
CHAPTER 2 The Ineluctable Coordinates.
CHAPTER 3 The Nature of the Curve.
PART II The Multiple Component Case: The Leverage SpacePortfolio Model.
CHAPTER 4 Multiple, Simultaneous f—"LeverageSpace".
CHAPTER 5 Risk Metrics in Leverage Space and Drawdown.
PART III The Leverage Space Praxis.
CHAPTER 6 A Framework to Satisfy Both Economic Theory andPortfolio Managers.
CHAPTER 7 Maximizing the Probability of Profit.