Ralph Vince - Portfolio Mathematics
ch02 JWBK035-Vince February 12, 2007 6:50 Char Count= 0 Probability Distributions 95 N′(X)= GAM((M+N)/2)∗(M/N)M/^2 (GAM(M/2)∗GAM ...
ch02 JWBK035-Vince February 12, 2007 6:50 Char Count= 0 96 HANDBOOK OF PORTFOLIO MATHEMATICS Note that this is the probability o ...
ch02 JWBK035-Vince February 12, 2007 6:50 Char Count= 0 Probability Distributions 97 is Cauchy. For values of A that are less th ...
ch02 JWBK035-Vince February 12, 2007 6:50 Char Count= 0 98 HANDBOOK OF PORTFOLIO MATHEMATICS It is because of this Generalized C ...
CHAPTER 3 Reinvestment of Returns and Geometric Growth Concepts To Reinvest Trading Profits or Not Let’s call the following syst ...
100 THE HANDBOOK OF PORTFOLIO MATHEMATICS System B No Reinvestment With Reinvestment Trade No. P&L Accum. P&L Accum. 100 ...
First Sequence (System A) No Reinvestment With Reinvestment Trade No. P&L Accum. P&L Accum. 100 100 1 − 40 60 − 40 60 2 ...
102 THE HANDBOOK OF PORTFOLIO MATHEMATICS As can obviously be seen, the sequence of trades has no bearing on the final outcome, ...
Reinvestment of Returns and Geometric Growth Concepts 103 may be profitable on a nonreinvestment basis. However, if a system is ...
104 THE HANDBOOK OF PORTFOLIO MATHEMATICS System A No Reinvestment With Reinvestment Trade No. P&L Accum. P&L Accum. 100 ...
Reinvestment of Returns and Geometric Growth Concepts 105 System C No Reinvestment With Reinvestment Trade No. P&L Accum. P& ...
106 THE HANDBOOK OF PORTFOLIO MATHEMATICS Since there are four trades in each of these, we take the TWRs to the fourth root to o ...
Reinvestment of Returns and Geometric Growth Concepts 107 Estimating the Geometric Mean There exists a simple technique of findi ...
108 THE HANDBOOK OF PORTFOLIO MATHEMATICS variance, we will obtain the population standard deviation. Now, let’s run through an ...
Reinvestment of Returns and Geometric Growth Concepts 109 standard deviation of these four HPRs to find the estimated geometric ...
110 THE HANDBOOK OF PORTFOLIO MATHEMATICS Take the case of a coin toss. Someone is willing to pay you $2 if you win the toss, bu ...
Reinvestment of Returns and Geometric Growth Concepts 111 of $1. Now suppose you win the first toss and are paid $2. Since you h ...
112 THE HANDBOOK OF PORTFOLIO MATHEMATICS Here is our dilemma: We know we will win 66% of the time, but we do not know when we w ...
Reinvestment of Returns and Geometric Growth Concepts 113 Theoretically, if you are gambling in a situation with no house limit, ...
114 THE HANDBOOK OF PORTFOLIO MATHEMATICS Bet Number List Bet Size Win/Loss 11 1 L 21,1 2 L 3 1,1,2 3 L 4 1,1,2,3 4 W 51,2 3 L 6 ...
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