Tid: 5 november 2012 kl 15.15-16.00.

Föredragshållare: Shlok Datye

Titel: Money Management Principles for Mechanical Traders (Examensarbete - Master thesis)

Abstract In his five books during 1990-2009, starting with Portfolio Management Formulas, Ralph Vince made accessible to mechanical traders with limited background in mathematics various important concepts in the field of money management. During this process, he coined and popularized the terms "optimal f" and "leverage space trading model."

This thesis provides a sound mathematical understanding of these concepts, and adds various extensions and insights of its own. It also provides practical examples of how mechanical traders can use these concepts to their advantage. Although beneficial to all mechanical traders, the examples involve trading futures contracts, and practical details such as the back-adjustment of futures prices are provided along the way.

The full report (pdf)

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