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

Unlike the Kelly Criterion (which applies primarily to 2-outcome bets like blackjack), Vince’s Optimal f works for the continuous, asymmetrical distribution of trading profits and losses (e.g., futures and options).

Ralph Vince, a computer programmer who worked closely with major futures traders, observed that even systems with high win rates often resulted in bankruptcy due to poor position sizing. Unlike the Kelly Criterion (which applies primarily to

The most significant contribution of the book is the introduction of (or Fractional Position Sizing). What is Optimal futures and options). Ralph Vince

Because very few human traders or institutional investors possess the psychological fortitude to withstand optimal-level drawdowns without abandoning their system, Vince paved the way for the use of . Unlike the Kelly Criterion (which applies primarily to