Product Description

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.

Product Details

• Amazon Sales Rank: #207712 in Books
• Published on: 2008-02-08
• Number of items: 1
• Binding: Hardcover
• 297 pages

From the Inside Flap

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.

From the Back Cover

Praise for Optimal Portfolio Modeling

"All too often, analysis ends with security selection. However, savvy investorsunderstand 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

About the Author

Philip J. Mcdonnell is a trader and software/trading methodologies developer who has created proprietary data collection and analysis tools for real-time analysis of market direction and stock selection, with an emphasis on options analysis. He has handled network operations for a venture capital incubator, The Inception Group, and developed and sold options analysis software packages. McDonnell served as a research assistant at the University of California, Berkeley, School of Business, under Victor Niederhoffer. He holds degrees in mathematics and computer science from the University of California, Berkeley.

Customer Reviews

Useful innovative concepts
Some reviewers have critiqued the fact that half the book is an introduction to R, available for free through the internet. Well, I instead found that very convenient. But that aside, let us look at the actual content from the author. Yes, many of the concepts can be found in an undergraduate book on investments. But here in this book, you will find only the concepts that are useful to the practitioner, and in a form that is both easy and innovative to implement. Maybe that is the reason why that part of the book is only 132 pages. I for one am busy, so I find it refreshing that I don't have to go through filler material. Look, the chapter on stop-loss myths alone is worth the price of the book (and I mean the original steeper price tag) and I won't even go into all the rest (since I feel the author gives a bit too much away)....

Yes, this is disappointing
I had high hopes for this book but like most people here I am extremely disappointed. Please review this book in the bookstore before ordering it sight unseen. 40% of the book is reprint from free R Project manual.

I am glad I saw this at a bookstore...
I had a chance to look at this book at a bookstore and I am glad I did not buy it on Amazon. It is basically a book on R with no real information on portfolio modeling. The information presented can be found in one chapter of an undergraduate text on investment management. Too bad because the title seemed promising along with a CD-ROM.

Oh well...I guess it is back to the drawing board for someone to put out the definitive book on portfolio modeling with a CD-ROM to illustrate the concepts.