Ralph Vince - Portfolio Mathematics

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


418 INDEX


Distributions.See also(Continued)
nonstationary, 26
open-ended, 45
probability, 43–98
stationary, 26, 52
unimodal, 54
Downhill Simplex (mathematical
minimization routine), 409
Drawdown
management, 359–363
optimality, 361
risk of, 389–414
Java code for determining,
392–395
time spent in, 197–198
Dynamic fractionalfstrategy, 325
Dynamic hedging, 335–340

Eckhardt, William, 372
Efficient frontier, 234, 264, 265
geometric, 266–273
Ergodicity, 16
E–V theory (Markowitz), 235–237,
240–241, 263.See alsoModern
Portfolio Theory
Exact sequences, 8–12
Expectation, mathematical, 6–8
Expected average compound growth
(EACG), maximizing, 209–217,
345
Expected Utility Theorem, 218, 221
Exponential Distribution, 54, 55, 83–87
Negative, 85

F Distribution, 94
fshift, 342–343
Fisher’s Z transformation, 40–41
Football pools, 21

Galton’s board, 52, 53
Gamma Distribution, 97
Gauss, Karl Friedrich, 52
Gaussian distribution.SeeNormal
Distribution
Genetic algorithm, 317–321
Geometric average trade, 127–128

Geometric Distribution, 78–80
Geometric growth concepts,
103–116
Geometric mean, 46, 47, 103–109
calculation of using spreadsheet
logic, 127
estimating, 107–109, 198–201
finding optimalfby, 122–125
Gradient trading, 345–351
Growth risk ratio, 354–355
Growth, utility, and finite streams, laws
of, 207–229
expected average compound
growth, maximizing, 209–217
Expected Utility Theorem, 218
utility and the new framework,
226–229
utility preference curve, finding,
222–226
utility preference functions,
characteristics of, 218–221
utility theory, 217–218
alternate arguments to, 221–222

Haight, Frank, 97–98
Harmonic mean, 46, 47
Horse racing, and pari-mutuel betting,
23–24
House advantage, 15–17, 19–20
Hypergeometric Distribution, 80–81

Inflection, point of, 355–358

Kelly Betting System, 119
Kelly criterion, xvii, 120
Kelly formula, 24, 120–122, 131
Kelly, John L., Jr., 119
Kurtosis, 51

Lagrange, method of, 241–246
Laplace, Pierre Simon, 3
Law of Averages, 15, 16
Leverage Space Model, xvii, xx,
287–322, 376
genetic algorithm, 317–321
important notes, 321–322
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