JWDD035-Ind JWDD035-Vince February 22, 2007 17:38 Char Count= 0
Index 419mathematical optimization, 303–304
versus root finding, 312–313
new framework, 288–299
objective function, 305–312
old frameworks, comparison to,
302–303
optimization techniques, 313–317
methods for selecting, 315
multidimensional, 315–317
in the real world, 377–414
simultaneous plays, multiple,
299–302
Leverage Space portfolios, geometry
of, 323–363
active equity, upside limit on,
341–342
constructing a robust, 342–343
continuous dominance, 345–351
dilution, 323–333
drawdown management and the
new framework, 359–363
fshift, 342–343
gradient trading, 345–351
margin constraint, 341–342
n+1 dimensional landscape,
important points to the left of
the peak in, 351–358
constant contract trading,
352–354
growth risk ratio, 354–355
point of inflection, 355–358
portfolio insurance and optimalf,
335–340
reallocation, 333–335
tailoring a trading program
through, 343–345
Linear correlation coefficient, 32–41,
195
Linear programming, 315
Lognormal Distribution, 67–70
Lotteries, state, 21, 22Margin constraint, 341–342
Markowitz, Harry, 232, 234
Markowitz model, 232–235
Martingale, 112–115Mathematical expectation, 6–8
negative, 16, 18–20
positive, 19
Mathematical optimization, 303–304
linear programming, 315
techniques, 313–317
methods for selecting, 315
multidimensional, 315–317
versus root finding, 312–313
Mean
arithmetic, 45, 47
geometric, 46, 47
harmonic, 46, 47
Mean absolute deviation, 48, 58
population, 48
sample, 48
Mean variance portfolios, geometry of,
261–286
capital market lines (CMLs), 261–266
completing the loop, 281–286
geometric efficient frontier, 266–273
and optimalf,277–281
unconstrained portfolios, 273
Median, 45
Mersenne Twister algorithm, 402
Mode, 46
Mode maximizers, 221–222
Modern Portfolio Theory, 231–232
Monte Carlo simulation, 380
Multinomial Distribution, 95–96n+1 dimensional landscape,
important points to the left of
the peak in, 351–358
constant contract trading, 352–354
growth risk ratio, 354–355
point of inflection, 355–358
Natural simulation, 316
Negative Binomial Distribution, 97
Negative correlation, 32,33
Negative territory, 195
Newton-Rapheson method of root
finding, 313
Non-interest-bearing cash (NIC),
274–277
Nonsatiation, 219