ACKNOWLEDGMENTS.

The Risk Management Investment is chapter 1.

Chapter 2 is about setting performance objectives.

There is an optimal target return.

There is aNominal Target Return.

There is a stop-out level.

The Beach.

Understanding the profit/loss patterns over time is chapter 3.

Statistics, but first a word about Time Series Construction.

There are time units.

Time periods.

There is a graphical representation of daily P/L.

Theogram of P/L observations.

Statistics.

A tribute to a great man.

The average is P/L.

There is a standard Deviation.

There is a Sharpe Ratio.

P/L is the median.

The percentage of winning days.

The average P/L is winning days versus losing days.

Drawdown.

There are correlations.

Putting it all together.

The risk components of an individual portfolio are discussed in chapter 4.

Historical change.

There are options that have implied volatility.

There is correlation.

The VaR is the value at risk.

Justification for VaR calculations.

There are different types of VaR Calculations.

Testing VaR accuracy.

Setting VaR parameters.

VaR Calculation is used in Portfolio Management.

There is a scenario analysis.

Technical analysis.

Chapter 5: Setting Appropriate Exposure Levels.

The appropriate ranges of exposure are determined.

Method 1 is inverted.

Managing volatility as a percentage of trading capital is the second method.

There are draws and netting risks.

Asymmetric payoff function.

Chapter 6 is about adjusting portfolio exposure.

There are individual positions.

There is bias.

There is a position level of volatility.

The time horizon.

Diversification.

Leverage.

There is optionality.

Pricing Dynamics are not linear.

There is a relationship between strike price and underlying price.

There is implied volatility.

There are asymmetric payoff functions.

The characteristics of leverage.

Summary.

The risk components of an individual trade are discussed in chapter 7.

Your transaction performance.

There are key components of a database.

Defining There was a transaction.

Statistics of the position.

Statistics of core transactions.

The trade level is P/L.

There is a holding period.

The average is P/L.

The Weighted Average P/L is the P/L per Dollar Invested.

The average holding period.

Attribution of P/L by Security.

Long side P/L versus short side P/L.

Correlation analysis is done.

There are daily transactions.

Capital was invested.

There is a net market value.

The net market value is the absolute value.

There are positions.

The periods are being held.

VaR is volatility.

There are other correlations.

There is a final word on correlation.

Performance success metrics.

There are methods for improving performance ratios.

There are components to the performance ratio.

You can maximize your P/L.

The ratio is Profitability Concentration.

Putting it all together.

Chapter 8 is about bringing it home.

Make a plan and stick to it.

Change the plan if the plan isn’t working.

Trade with an edge.

There are structural inefficiencies.

There are methodological inefficiencies.

Play your P/L.

It’s a good idea to avoid surprises.

Seek to maximize your performance.

Seek nonmonetary benefits.

Liberal doses of humility and humor should be applied.

Be healthy and cultivate other interests.

There is an optimal and risk of ruin.

Optimal f.

There is a risk of ruin.

INDEX.