Vince R. The Leverage Space Trading Model.. Reconciling Portfolio Management Strategies and Economic Theory (Wiley, 2009)( 0470455950)(O)(206s)_FI_.pdf

(continued from front flap)
Praise for VINCE $ USA/ $ CAN
complex desires, what’s the alternative? As Vince
THE
shows, the answer is to utilize the Leverage Space THE LEVERAGE SPACE TRADING MODEL
Model as a “framework” to achieve the specifi c
ends a trader or portfolio manager seeks.
“As Warren Buffett said, ‘It’s only when the tide goes out that you learn who’s been swim- SPACE TRADING MODEL LEVERAGE he cornerstone of money management and
The author’s new allocation paradigm avoids ming naked.’ We now know that most have been. It’s too bad that Ralph Vince did not fi nish THE portfolio optimization techniques has re-
the troubles e with mean variance his book in 2005 or 2006, it would have helped save institutional investors and our nation Tmained the same throughout history: maxi-
mize gains and minimize risk. Yet, asserts Ralph
models—which most models are—and quantifi es trillions of dollars; few people understand the rewards of leverage and its inherent risks
drawdowns to achieve a growth-optimal portfolio Vince, the widely accepted approaches -
like Ralph. As we found out, most hedge funds and banks use leverage without knowing
within a given drawdown constraint, in a manner LEVERAGE bining assets into a portfolio and determining
that satisfi es these seemingly pathological how to quantify its risks or rewards. This book is a must-read for anyone using or being their relative quantities are wrong—and will cost
human desires. And for those who don’t wish responsible for risk. Leverage is one of our greatest empowerments.” you. They illuminate nothing, he says, aside from
to get involved with the mathematics, Vince has providing the illusion of safety through diversi-
presented the text in a manner of two congruent, — Salomon Konig, member of the board of directors, Hedge Fund Association, fi cation. Although numerous Nobel Prizes have
SPACE been awarded based on some of those widely
simultaneous channels, with math an