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Optimal Portfolio Modeling, CD-ROM includes Models Using Excel and R: Models to Maximize Returns and Control Risk in Excel and R (Wiley Trading)


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.

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.

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