The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory

Preface ix

Introduction 1

Part I The Single Component Case: Optimal f 7

Chapter 1 The General History of Geometric Mean Maximization 9

Chapter 2 The Ineluctable Coordinates 21

Chapter 3 The Nature of the Curve 29

Part II The Multiple Component Case: The Leverage Space Portfolio Model 59

Chapter 4 Multiple, Simultaneous f—‘‘Leverage Space’’ 61

Chapter 5 Risk Metrics in Leverage Space and Drawdown 89

Part III The Leverage Space Praxis 139

Chapter 6 A Framework to Satisfy Both Economic Theory and Portfolio Managers 141

Chapter 7 Maximizing the Probability of Profit 157

Bibliography 183

Index 187