Portfolio Management Formulas : Mathematical Trading Methods for the Futures, Options, and Stock Markets

Explores two often overlooked mathematical tools that are vital for achieving success in today's fast-paced commodities markets: quantity, which offers insights into the optimal trading amounts for specific markets and systems, and intercorrelation of returns (diversification), which not only guides traders in selecting the right markets and systems, but also emphasizes the importance of diversifying trading quantities for each market. By combining these lesser-known tools with more popular trade/system selection techniques, readers can gain a mathematically-rooted understanding of how to effectively navigate the markets, recognizing that utilizing all three tools is most likely key to achieving consistent success. Additionally, the discussions incorporate non-stationary distribution of profits and losses as well as drawdowns, presenting traders with a comprehensive view of the fluctuations inherent in commodities markets and best strategies for maximizing their assets.

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