Ralph Vince - Portfolio Mathematics

JWDD035-Ind JWDD035-Vince February 22, 2007 17:38 Char Count= 0

Index

Active equity, upside limit on, 341–342

Anti-trending systems, 371

Arc sine laws, 194–198

Arithmetic mean, 45, 47

Asymmetrical leverage, 118–120

Baccarat, 19

Bankrolls, combined versus separate,

180–182

Bell curve.SeeNormal Distribution

Bernoulli Distribution, 10, 71–72, 183

Beta Distribution, 97

Binomial Distribution, 10, 72–78

Blackjack, 19, 145

as dependent trials process, 5

Broyden-Fletcher-Goldfarb-Shanno

(BFGS) algorithm, 316

Capital market lines (CMLs), 261–266

Cartesian plane, 236, 237, 409

Cauchy Distribution, 92, 96

Central Limit Theorem, 52–54, 88, 97,

203

Generalized, 97

Chi-Square Distribution, 87–88

Chi-square test, 40, 88–91

“Classical Gambler’s Ruin Problem,”

378–379

Coin-toss distribution.SeeBinomial

Distribution

Coefficients matrix, constructing,

235–246

row-equivalent matrices, solutions

of linear systems using, 246–252

results, interpreting the, 252–260

Commodity Futures Game: Who

Wins? Who Loses? Why?

(Teweles et al.), 222–226

Confidence limits, 27–32

Constant contract trading, 352–354

Continuous distribution, 44

Continuous dominance, 345–351

Davidson-Fletcher-Powell (DFP)

algorithm, 316

de Moivre, Abraham, 52

de Moivre’s distribution.SeeNormal

Distribution

Degrees of freedom, 91, 92–95

Dennis, Richard, 372

Dilution, 323–333

split equity technique of, 324–325

Dispersion, measures of, 47–49

half-width, 48

mean absolute deviation, 48

range, 47–48

semi-interquartile, 47

10–90 percentile, 47

standard deviation, 49

variance, 48–49

Distributions.See alsospecific types

continuous, 70

descriptive measures of, 45–47

discrete, 72, 74, 78

Haight’s index of, 98

moments of, 47–52

first, 47

fourth (kurtosis), 51

second, 47–49

third (skewness), 49–50

417