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Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.
it takes more than just precise timing and picking the right stocks to achieve exceptional results in today's markets. In order to capture consistent success, you need to strike the right balance between position sizing and risk management.
Nobody understands this better than author Philip McDonnell, and with Optimal Portfolio Modeling, he looks to share his extensive experiences in this field with you. As a thirty-year trading veteran, McDonnell knows what it takes to make it in a variety of markets, and now, by focusing on the relatively unexplored realm of money management and portfolio modeling, he'll show you how to do the same.
Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R.Through both empirical and statistical techniques, this reliable resource presents modeling formulas that will allow you to maxi-mize the performance, minimize the drawdown, and manage the risk of your portfolio.
Specific issues explored throughout these pages include:
Modeling market microstructure randomness
The distribution of price changes--from the Reflection Principle to choosing between empirical distributions and theoretical distributions
Modeling risk management and debunking stop-loss myths
The salient properties of a good utility model and its importance in optimal long-term growth of capital at the portfolio level
Proper backtesting for portfolio models
Plus much more
And through the book's companion CD-ROM--which skillfully parallels the information presented in the text and contains numerous program examples written in either Excel or R--you'll continue to cultivate your trading skills by learning how to use the tools that will allow you to develop distinct models.
As more smart money chases market returns, individual and professional traders need to take a more mathematical and statistically accurate approach to trading. Optimal Portfolio Modeling will show you how to do this, and much more, as you strive to achieve your personal investment objectives.
Praise for Optimal Portfolio Modeling
"All too often, analysis ends with security selection. However, savvy investors understand that security selection is where analysis starts. In this important contribution to the literature, Mr. McDonnell discusses position sizing, portfolio construction, utility, money management, and much more, all of which can make important contributions to your total return." —John Bollinger, CFA, CMT, www.BollingerBands.com
"This book provides a cornucopia of practical techniques with readily accessible statistical backup for maximizing returns from systematic trading." —Victor Niederhoffer, author of The Education of a Speculator and Practical Speculation
"What happens when stock market prices collide with a mathematician that really trades? Simple: myths are dispelled and truths are established. You are sure to learn from this book." —Larry Williams, author of Trading Stocks & Commodities with the Insiders: Secrets of the COT Report, and Long-Term Secrets to Short-Term Trading
"I can heartily recommend this wonderful, well-organized, and well-thought-out book by a very pragmatic and bright guy. It will give the reader an excellent understanding of the mathematical nature of portfolio modeling." —Ralph Vince, author of The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage
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