Ralph Vince - Portfolio Mathematics
314 THE HANDBOOK OF PORTFOLIO MATHEMATICS combinations that we would need to try, or 1,002,001 times the objective function woul ...
The Leverage Space Model 315 There are a number of techniques for finding the maximum or min- imum in such cases. Usually, in an ...
316 THE HANDBOOK OF PORTFOLIO MATHEMATICS In the multidimensional case, there are many good algorithms, yet there is no perfect ...
The Leverage Space Model 317 Although you can use any of the aforementioned multidimensional op- timization algorithms, I have o ...
318 THE HANDBOOK OF PORTFOLIO MATHEMATICS assigned to each variable (i.e.,fvalue). Twelve bits allows for values in the range of ...
The Leverage Space Model 319 has a scaled fitness score of .05, the second has one of .1, and the third .08, then they are set u ...
320 THE HANDBOOK OF PORTFOLIO MATHEMATICS until you have reachedXunimproved generations, that is,Xgenerations where the best obj ...
The Leverage Space Model 321 in the second generation ends up with exactly the same genetic material as the first individual in ...
322 THE HANDBOOK OF PORTFOLIO MATHEMATICS infinity—that is, as you use a larger and larger value for unimproved generations—the ...
CHAPTER 10 The Geometry of Leverage Space Portfolios J ust as everyone is at a value forfwhether they acknowledge it or not, so ...
324 THE HANDBOOK OF PORTFOLIO MATHEMATICS all positions can be assigned anf value as detailed in earlier chapters. Often, people ...
The Geometry of Leverage Space Portfolios 325 you would now look to trade 19 units ($95,000/$5,000). However, under the split eq ...
326 THE HANDBOOK OF PORTFOLIO MATHEMATICS Prob=The sum of probabilities of allmof the HPRs for a given set offvalues. Probkis th ...
The Geometry of Leverage Space Portfolios 327 are now given for the diluted AHPR, called FAHPR, the diluted standard deviation ( ...
328 THE HANDBOOK OF PORTFOLIO MATHEMATICS (number of days, since the geometric means are daily) required to double the static fr ...
The Geometry of Leverage Space Portfolios 329 To make 400% profit (i.e., a goal or TWR, of 5) requires of the .2 static techniqu ...
330 THE HANDBOOK OF PORTFOLIO MATHEMATICS where: T=The expected number of holding periods to reach a specific goal. goal=The goa ...
The Geometry of Leverage Space Portfolios 331 periods) at which you should wait before reallocating; otherwise, you are better o ...
332 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 10.1 Percent growth per period for constant contract, static, and dy- namicf it ...
The Geometry of Leverage Space Portfolios 333 equity in the account, you will have some unused cash in the account on any given ...
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