The protagonist of our story is Elias, a young quantitative analyst working out of a cramped office in Lower Manhattan. He was surrounded by "gunslingers"—traders who bet the farm on a single gold future or a volatile tech stock. Elias knew that even with a winning strategy, most of these men would eventually go broke. They didn't understand the "math of ruin."
Vince’s Portfolio Management Formulas introduces . This is a multi-dimensional optimization problem where you find the optimal fraction for each market simultaneously , accounting for correlation.
You need this book if:
Vince generalized this into the "Optimal ( f )." He provided a formula to calculate exactly how much of your account to risk on a single trade to maximize the geometric growth of your capital.
If the book is so brilliant, why isn't every hedge fund using pure ( f )? Because Ralph Vince admits it is almost impossible to implement raw.