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The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory Hardcover – May 26, 2009


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The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory + Risk-Opportunity Analysis + The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage
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Editorial Reviews

From the Inside Flap

The cornerstone of money management and portfolio optimization techniques has remained the same throughout history: maximize gains and minimize risk. Yet, asserts Ralph Vince, the widely accepted approaches of combining assets into a portfolio and determining their relative quantities are wrong—and will cost you. They illuminate nothing, he says, aside from providing the illusion of safety through diversification. Although numerous Nobel Prizes have been awarded based on some of those widely accepted principles, their popular acceptance does not constitute real-world validation. What has been needed is a viable alternative to directly address these real-world dictates.

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.

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.

More About the Author

Ralph Vince is by profession a computer programmer writing analytical programs for funds, large traders and professional gamblers. He is the author of five books on investing in his field of expertise, portfolio management and portfolio/trade optimization.

In his latest book, 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.

To quote a few industry leaders:

"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

"I have known Mr. Vince for many years and he is quite simply one of the brightest minds in the industry. Do not miss this opportunity to share his insights into the investment process. John Bollinger, CFA, CMT, author of Bollinger on Bollinger Bands.

Mr. Vince's books are utilized as text books for university financial engineering programs and he is a lecturer at universities and financial seminars worldwide.

Mr. Vince is holding a one-and-a-half day workshop is designed for traders and investment managers of all asset classes in London on June 29th-30, 2010. The event will provide an in-depth, practical and quantitative understanding of the portfolio optimization and money management techniques developed by him, including his Optimal f and Leverage Portfolio Models. For more information visit http://rvincelondon201006.eventbrite.com/

Books by Ralph Vince:

The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory (Wiley Trading 2009)

The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage (Wiley Trading 2007)

The New Money Management: A Framework for Asset Allocation (Wiley Trading 1995)

The Mathematics of Money Management: Risk Analysis Techniques for Traders (Wiley Trading 1992)

Portfolio Management Formulas : Mathematical Trading Methods for the Futures, Options, and Stock Markets (Wiley Trading 1990)

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