Optimal f

Optimal f

Ralph Vince is perhaps best known for his Optimal f notion for capital management and its implications, which reach far beyond capital management and cover the notion of what many have called "expectation", and illuminates this concept, ubiquitous in so many disciplines, beyond what has been known of it. The full formulation for Optimal f, as well as the complete notion of expectation are covered in detail in this paper published in The Far East Journal of Theoretical Statistics.

Risk-Opportunity Analysis 2nd Edition


Beginning with the ground-breaking book Portfolio Management Formulas, written in the 1980s and published in 1990 by John Wiley and Sons, Ralph Vince’s books have been a staple in the study of risk mathematics and portfolio allocations. His latest book, Risk-Opportunity Analysis, ties four decades of his ideas on these topics into a complete discipline.

Research Papers

Research Papers

A collection of academic papers authored or co-authored by Ralph Vince, as well as a selection of papers citing or on the subject matter involved in his writings.

Partial Listing of Academic Papers and Citations

Vince, Ralph. Time-Optimal Efficiencies in Public Transportation Passenger Stop Configurations for Future / High-Speed Systems. (December 30, 2022). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4316102

Ye CY., Wu ME. Using Support Vector Machine for Option Trading on Settlement Day. (November 26, 2021) In: Pan JS., Balas V.E., Chen CM. (eds) Advances in Intelligent Data Analysis and Applications. Smart Innovation, Systems and Technologies, vol 253. Springer, Singapore. https://doi.org/10.1007/978-981-16-5036-9_8

Vince, Ralph. The Fallacy of Maximizing Risk-Adjusted Returns. (November 14, 2020). Available at SSRN: https://ssrn.com/abstract=3731117

Vince, Ralph. Diminution of Malevolent Geometric Growth Through Increased Variance Journal of Economics, Business and Market Research, Volume 1(1), Pages 35 - 53 (June 2020).

Vince, Ralph. Expectation and Optimal f: Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length as a Basis in Evolutionary Decision-Making. Far East Journal of Theoretical Statistics, Volume 56, Issue 1, Pages 69 - 91 (May 2019).

Smirnova, O.V. & Kotlyar, V.Y. Some Models of Exchange Trading in High-Risk Financial Markets. Cybern Syst Anal (2019).

Lopez de Prado, Marcos and Vince, Ralph and Zhu, Qiji Jim. Optimal Risk Budgeting Under a Finite Investment Horizon Risks 2019, 7(3), 86.

Dewasurendra, S., Judice, P., Zhu, Q. The Optimum Leverage Level of the Banking Sector. Risks 2019, 7, 51.

Maier-Paape, Stanislaus. Risk Averse Fractional Trading Using the Current Drawdown. Journal of Risk, Vol. 20, No. 5, 2018. Mu-En Wu, Wei-Ho Chung.A Novel Approach of Option Portfolio Construction Using the Kelly Criterion. IEEE Access, Volume 6, September 17, 2018.

MacKay, J. A., and G. P. Citron. Optimal f: A capital management tool for multi-well drilling commitment decisions. Gulf Coast Association of Geological Societies Transactions, v. 67, p. 217-225.

Maier-Paape, Stanislaus . Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative. Risks. 2017; 5(3):44.

Hermes, Andreas. PhD thesis: A Mathematical Approach to Fractional Trading; Using the Terminal Wealth Relative with Discrete and Continuous Distributions. Institut für Mathematik, RWTH Aachen. 2016.

Kashirina, Irina Leonidovna and Azarnova, Tatiana Vasilievna and Bondarenko, Yulia Valentinovna, and Shchepina, Irina Naumovna. Modeling and Optimization of Assets Portfolio with Consideration of Profits Reinvestment. Global Journal of Pure and Applied Mathematics Volume 12, Number 3 (2016), pp. 2023-2033.

Maier-Paape, Stanislaus . Risk averse fractional trading using the current drawdown (PREPRINT) Institut für Mathematik, RWTH Aachen, Report Nr. 88, 22 pp., 2016.

Maier-Paape, Stanislaus . Optimal f and diversification IFTA Journal pp. 4-7, 2015.

Lopez de Prado, Marcos and Vince, Ralph and Zhu, Qiji Jim. Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation slides to "Optimal Risk Budgeting Under a Finite Investment Horizon") (June 28, 2015). Available at SSRN: http://ssrn.com/abstract=2624329

Mu-En Wu, et al. An Adaptive Kelly Betting Strategy for Finite Repeated Games. Genetic and Evolutionary Computing: Proceedings of the Ninth International Conference on Genetic and Evolutionary Computing, August 26-28, 2015, Yangon, Myanmar. Vol. 2. Spring, 2015.

Mu-En Wu, et al. An Empirical Comparison between Kelly Criterion and Vince's Optimal F. 2015 IEEE International Conference on Smart City, December 19-20, 2015, Chengdu, China. December, 2015.

Lundstrom, Christian. Money management with optimal stopping of losses for maximizing the returns of futures trading. Umea Economic Studies:884. Umea University, Sweden 2014.

Vince, Ralph. Dance Steps: A Statistical Quantification of Data Pair Similarities. (December 19, 2013). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4185739

Libertini, Nicholas J. The impact of stop losses on short-term countertrend trading strategies. Journal of Investment Strategies 2(4), 59-81. 2013.

Maier-Paape, Stanislaus . Existence theorems for optimal fractional trading (PREPRINT) Institut für Mathematik, RWTH Aachen, Report Nr. 67, 9 pp., 2013.

Vince, Ralph and Zhu, Qiji Jim. Inflection Point Significance for the Investment Size. Available at SSRN: http://ssrn.com/abstract=2230874. February 27, 2013.

Vince, Ralph and Zhu, Qiji Jim. Optimal Betting Sizes for the Game of Blackjack. Journal of Investment Strategies 4(4), 53-75.

Wilkie, Richard and Vince, Ralph. Benefits of Index-Tracking for the Single Family Office. Family Office Association, January 2, 2013.

Datye, Shlok. Student thesis: Money Management Principles for Mechanical Traders. School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics, KTH Royal Institute of Technology. 2012.

Zhu, Qiji Jim, Vince, Ralph and Malinsky, Steven. A Dynamic Implementations of the Leverage Space Portfolio. Available at SSRN: http://ssrn.com/abstract=2230866. July 23, 2012.

Vince, Ralph. Optimal f and the Kelly Criterion. Journal of the International Federation of Technical Analysts #11.

Chen, Tony and Esmaeilzadeh, Ehsan and Jarvandi Ali and Lin, Ning and O'Neil, Ryan J. Optimal Options Investment Strategy - Final Report SEOR Department, George Mason University, Spring, 2010.

Vince, Ralph. Optimising for the Highest Probability of Profit at Some Future Point in Time: A Prospect Theory Implementation for Portfolio Managers. Journal of the International Federation of Technical Analysts. 2009.

Shcherbakova, Natalia Yu. The Integrated ERM Problem from the Classical Cybernetic Point of View. Journal of the Society of Actuaries. 2008.

Zhu, Qiji Jim. Mathematical Analysis of Investment Systems. Journal of Mathematical Analysis and Applications, 326:708-720, 2007.

Zikovic, Sasa. Optimal Trading Quantity Integration as a Basis for Optimal Portfolio Management (June 24, 2005). Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 22, No. 2, 2004, pp. 117-137.

Anderson, John and ROBERT W. FAFF. Maximizing futures returns using fixed fraction asset allocation. Applied Financial Economics. 2004, 14, 1067-1073.

Anderson, John. Discussion Papers in Economics, Finance and International Competitiveness. Queensland University of Technology Discussion Paper No. 133, January 2003.