The leverage space trading model: reconciling portfolio management strategies and economic theory

In The Leverage Space Trading Model, Optimal f and quantitative portfolio analysis expert Ralph Vince takes the Leverage Space Model he presented in The Handbook of Portfolio Mathematics and pioneers into a entirely new territory. Market analysis and technical indicators are important to determine market direction but Vince claims that in and of themselves they are not enough and won't keep traders from inevitable failure. As Vince shows, even in a game where thetrader wins in all but one trade out of a million, if the trader keeps doubling the bets, the trader will eventually go broke. Even if the trader doesn't use margin, he or she is still using leverage. Leverage refers to the schedule upon which an asset position is increased or decreased over time as the equityaccount fluctuates. Traditional models do not reflect real world actualities of cash vs. the position and the schedule of adding or lightening that position. Vince shows that geometric returns (the ‘space’) matter more than arithmetic returns and presents a paradigm that seeks to maximize the probability of being profitable as opposed to maximizing profits. Psychologically, because thisparadigm seems to minimize losses, which Daniel Kahneman showed we are hardwired to do, it is ultimately easier to implement -- and stick to."

• ISBN: 978-0-470-45595-1
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 191
• Fecha Publicación: 03/06/2009
• Nº Volúmenes: 1
• Idioma: Inglés