Ralph Vince - Portfolio Mathematics

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


422 INDEX


Skewness, 49–50
index of, 96
Pearson’s coefficients of, 50
Snedecor’s Distribution, 94
Stable Paretian distribution, 95–98
Standard deviation, 49, 58
possible outcomes and, 11–15
Standard normal deviate, 56
Standard Uniform Distribution.See
Uniform Distribution
Stationary distribution, 26, 52
Student’s Distribution, 41, 91–94
Survival hypothesis (Wentworth), 222

t Distribution.SeeStudent’s
Distribution
Threshold to geometric, 177–180
Trading, fundamental equation of,
202–203
Trading systems, comparing, 192–193
Trials processes, independent versus
dependent, 5–6, 25

Turning points test, 38
“Turtles,” the, 372
Two-tailed, 63–64

Uniform Distribution, 53–54, 69,
70–71
Unimodal distribution, 54
Utility preference curve, finding,
222–226
Utility preference functions,
characteristics of, 218–221
Utility theory, 217–218, 222
alternate arguments to, 221–222
Utility-of-wealth function, 221

Variance, 48–49, 58
infinite, 92

Wentworth, R. C., 221–222

Z scores, 27–32
Ziemba, William T., 115–116, 150
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