Ralph Vince - Portfolio Mathematics

334 THE HANDBOOK OF PORTFOLIO MATHEMATICS At lower goals, the static fractional f strategy grows faster than its corresponding d ...

The Geometry of Leverage Space Portfolios 335 The first, and perhaps most important, thing to realize about reallo- cation, can ...

336 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 10.2 Portfolio insurance line when the portfolio is at its initial value (100) ...

The Geometry of Leverage Space Portfolios 337 expiration date for this hypothetical option which you are going to create. Let’s ...

338 THE HANDBOOK OF PORTFOLIO MATHEMATICS 54% disinvested. Fifty-four percent of 50 units is 27 units. Therefore, at the present ...

The Geometry of Leverage Space Portfolios 339 we are discussing the sum of thef values of the components. Sincefis only applied ...

340 THE HANDBOOK OF PORTFOLIO MATHEMATICS upon an expiration date, volatility level, and other input parameters to the particula ...

The Geometry of Leverage Space Portfolios 341 Upside Limit on Active Equity and the Margin Constraint AND THE MARGIN CONSTRAINT ...

342 THE HANDBOOK OF PORTFOLIO MATHEMATICS Now we can plug these values into Equation (10.08). Notice that n MAX i= 1 is $2,500, ...

The Geometry of Leverage Space Portfolios 343 Thisfshift is doubtless a problem to all traders. Oftentimes, if thefshift is towa ...

344 THE HANDBOOK OF PORTFOLIO MATHEMATICS where: T=The variableTderived from Equation (10.05). FRAC=The initial active portion o ...

The Geometry of Leverage Space Portfolios 345 Thus, if we start out with an initial active equity of 5%, then 13.63% is the upsi ...

346 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 10.3 Points where one method overtakes another can be viewed with respect to ti ...

The Geometry of Leverage Space Portfolios 347 FIGURE 10.4 Growth rate as a percentage of stake constant contract basis, with the ...

348 THE HANDBOOK OF PORTFOLIO MATHEMATICS The growth functions are taken from Equation (10.05). Thus, the static fgrowth functio ...

The Geometry of Leverage Space Portfolios 349 (5.06) to determine the FGHPR) Next we plug these values into Equations (10.14), ( ...

350 THE HANDBOOK OF PORTFOLIO MATHEMATICS FIGURE 10.5 Continuous dominance vs. dynamicf to dynamicf. If we were to do this, Figu ...

The Geometry of Leverage Space Portfolios 351 On the seventeenth play, we can see that the dynamicfgradient over- takes the othe ...

352 THE HANDBOOK OF PORTFOLIO MATHEMATICS managers would restrict themselves to that real estate which is to the left of the pea ...

The Geometry of Leverage Space Portfolios 353 we continue to always bet $2; that if the account were to get to $30 total equity, ...