Portfolio Management Formulas Mathematical Trading Methods For The Futures Options And Stock Markets Author Ralph Vince Nov 1990 Link

While the 1990 edition lacks the software interfaces of modern trading platforms, the math is eternal. Every dollar you have ever lost to a "drawdown" was likely the result of violating Optimal ( f )—either risking too much (greed) or too little (opportunity cost).

The most significant contribution of the book is the concept of While the 1990 edition lacks the software interfaces

Perhaps Vince’s most radical contribution was his critique of the Sharpe Ratio. He argued that the Sharpe Ratio is flawed because it measures risk as standard deviation (volatility) relative to a risk-free rate. For a trader using leverage, volatility can be good if it skews positively. He argued that the Sharpe Ratio is flawed

A novice might say, "This sounds like the Kelly Criterion." Vince acknowledges the debt to John Kelly (1956) but explodes its limitations. The answer lies in

The answer lies in .