Vince - The Leverage Space Trading Model

谢谢，下了！

 

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

http://www.filefactory.com/file/ca2283/n/0471757683_zip

 

多谢，好书，请问可有“trading system that work”的电子版？

 

好书，多谢相助。

 

上面的链接下不来啊。
wj2000, 能不能发给我个链接啊。我知道您保存了所有的宝贝。多谢
最近要看看Vince的资金管理。

 

新模型比MPT的好处:

Why The Leverage Space Model is Superior to
Traditional (Modern Portfolio Theory) Models:
1. Risk is defined as drawdown, not variance in
returns.
2. The fallacy and danger of correlation is
eliminated.
3. Valid for any distributional form – fat tails are
addressed.
4. The Leverage Space model is about leverage,
which is not addressed in the traditional models.

 

真的可以下，多谢了。
Vince 提出了这个模型，颠覆了半个世纪的传统资金管理模型，对基金经理很重要。

 

在看Vince的Handbook of Portfolio Mathematics之外，建议看看Amazon Aaron C. Brown 的评论，别太相信这本书。http://www.amazon.com/exec/obidos/ASIN/0471757683/k04-20

 

正在看他的书，不管怎么，都是有学习作用的。关注. 我记得vince有4本书，感谢上面的兄弟，想4本都系统的看一遍。

 

上面居然还有黄老大的评论

 

Vince Ralph 一共出了5本书：

2009. The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory
2007. The Handbook of Portfolio Mathematics.
1995. The New Money Management.
1992. The Mathematics of Money Management.
1990. Portfolio Management Formulas.

最近我看了The Handbook of Portfolio Mathematics 和The Leverage Space Trading Model，The Leverage Space Trading Model是对optimal f、leverage space理论的总结。

 

看过第4和5，感觉他的书有些晦涩，有第2本但还没看。

 

老文的书就是晦涩，此外重复内容多，看了后面出版的，前面的不看问题也不大。

 

All he is selling is the idea of optimal f, which boils down to (fractional) kelly criteria. It looks all good in theory, but is useless in practice because in real life it is impossible to estimate the win/loss ratio.

 

What's relatively reliable to be estimated in practice?

 

"[T]here are known knowns; there are things we know we know. We also know there are known unknowns; that is to say we know there are some things we do not know. But there are also unknown unknowns – the ones we don't know we don't know. "

—Former United States Secretary of Defense Donald Rumsfeld