Sharpe's home page

["Walter Lake" <wlake@xxxxxxxxx>]

Hi John

Thanks for all of your work.

Yep ... the "big Sigma Sisters" <G> get you every time.

Here's some material for your files and for others who wrote.

This is the Sharpe Ratio article from the Journal of Portfolio Management
http://www.stanford.edu/~wfsharpe/art/sr/sr.htm
The XL code is in the first couple of pages.

This is the worksheets page
http://www.stanford.edu/~wfsharpe/ws/wksheets.htm

This is the home page
 http://www.stanford.edu/~wfsharpe/

These are all the other articles and papers
http://www.stanford.edu/~wfsharpe/art/art.htm

Best regards

Walter

PS: Lots of videos and papers here
Tactical Global Asset Allocation and Stock Selection
http://www.duke.edu/~charvey/Classes/ba453/syl453.htm

The "A1Global.xls" has the Sharpe Utility Optimization, Efficiency Frontier
and Markowitz Optimization built in.



----- Original Message -----
From: "John Manasco" <john@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, July 11, 2000 3:11 PM
Subject: Re: Risk of ruin, amount per trade formula?


| snip snip
|
| And I will assume my biggest loss is ahead of me. Ralph Vince seems to
| construct his theory based on the biggest loss being already known or at
| least quantifiable. It's not quantifiable...I can foul up anything beyond
| belief.
|
| John
|
| > I haven't read any of Ralph Vince's books - but I wonder if he addresses
| > these issues like opening gaps, limit moves against the position etc. No
| > amount of quantification does away with the psychological damage they
| > inflict.
| >
| > Above, of course, assumes you take positions home overnight.
| >
| > Gitanshu
| >
| >
| >
|