Portfolio management formulas
mathematical trading methods for the futures, options, and stock markets
by Ralph Vince · first published 1990
2mentions
1recommended by
2HN commenters
2009–2018first – last mentioned
50% recommend50% neutral
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For financial markets, Portfolio Management Formulas by Ralph Vince develops a similar strategy. It too is based on the Kelly Criterion. But it assumes you already have a profitable strategy as opposed to saying "do this system". I'm not in any way related…
on “What is the gambler’s equivalent of Amdahl’s Law?” ↗A similar (but more useful) position sizing strategy is the Optimal F formula, described by Ralph Vince in his book Portfolio Management Formulas. But its real value is in showing you your 'cliff of death' curve: how close you can get to bankruptcy given your position sizing. In my opinion, position sizing is more way more important (and less…
on “Kelly Criterion (2007)” ↗