The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory
"As Warren Buffett said, 'It's only when the tide goes out that
you learn who's been swimming naked.' We now know that most have
been. It's too bad that Ralph Vince did not finish his book in 2005
or 2006, it would have helped save institutional investors and our
nation trillions of dollars; few people understand the rewards of
leverage and its inherent risks like Ralph. As we found out, most
hedge funds and banks use leverage without knowing how to quantify
its risks or rewards. This book is a must-read for anyone using or
being responsible for risk. Leverage is one of our greatest
—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, but
that doesn't mean he isn't right. Traders should read this
—Euan Sinclair, option trader and author of Volatility Trading
"As we've seen recently, the gross misuse of leverage has been a
hard lesson for institutions. But position sizing is critical to
the success of all traders, big and small, and Ralph Vince brings
fresh thinking to an area that badly needs it. He challenges the
status quo and makes you think about what you're doing. He attacks
the major flaws of MPT. There is no doubt that you'll benefit from
—Perry Kaufman, author of New Trading Systems and Methods, Fourth Edition and A Short Course in Technical Trading
"If Ralph Vince writes it, I read it...every word, every thought
this guy has produced has led me to additional market profits.
Money management is clearly the way to the kingdom of wealth in the
investment world and Ralph gives you the keys in this book."
—Larry Williams, trader, fund manager, and author of Trade Stocks & Commodities with the Insiders: Secrets of the COT Report and Long-Term Secrets to Short-Term Trading
PART I The Single Component Case: Optimal f.
CHAPTER 1 The General History of Geometric Mean Maximization.
CHAPTER 2 The Ineluctable Coordinates.
CHAPTER 3 The Nature of the Curve.
PART II The Multiple Component Case: The Leverage Space Portfolio Model.
CHAPTER 4 Multiple, Simultaneous f—"Leverage Space".
CHAPTER 5 Risk Metrics in Leverage Space and Drawdown.
PART III The Leverage Space Praxis.
CHAPTER 6 A Framework to Satisfy Both Economic Theory and Portfolio Managers.
CHAPTER 7 Maximizing the Probability of Profit.