Ralph Vince - Portfolio Mathematics

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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

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