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

Wiley – 2007, 445 p.
ISBN: 0471757683In The Handbook of Portfolio Mathematics, Vince outlines the essential elements found in his first three groundbreaking books.
Portfolio Management Formulas, The Mathematics of Money Management, and The New Money Management.The Mathematics of Money Management, and The New Money Management — and then presents you with new insights that will allow you to implement his ideas in real-world trading situations. For instance, this book discusses drawdown beyond any discussion of drawdown to date. Vince's new portfolio model, the Leverage Space Model, uses drawdown as its risk metric, as opposed to conventional methods which use variance in returns. The result is a portfolio model far superior to any of its predecessors — some of which have been in use throughout the industry for over half a century.
While the first part of this book is purely conceptual, it is also exhaustive in that sense; not on portfolio construction in general, but rather, on portfolio construction in terms of optimal position sizes along the lines of an Optimal f approach. But The Handbook of Portfolio Mathematics goes far beyond theoretical principles; it quickly takes you from basic gambling theory and statistics, through the introduction of the Kelly criterion, Optimal f, and finally onto the leverage space portfolio model for multiple-simultaneous positions.Theory:
The Random Process and Gambling Theory.
Probability Distributions.
Revinvestment of Returns and Geometric Growth Concepts.
Optimal ƒ.
Characteristics of Optimal ƒ.
Laws of Growth, Utility, and Finite Streams.
Classical Porfolio Construction.
The Geometry of Mean Variance Portfolios.
The Leverage Space Model.
The Geometry of Leverage Space Portfolios.
Practice:
What the Professionals Have Done.
The Leverage Space Portfolio Model in the Real World.
Postscript.