[RT] Ralph Vince's Optimal F via Parabolic Interpolation ...

[Andrew Peskin <andrew@xxxxxxxxx>]

Has anyone on the list successfully implemented the Parabolic
Interpolation method found in Ralph Vince's  Portfolio Management
Formulas (pp. 117 - 122) for calculating Optimal F?  He provides some
example output which I can not match.  I am wondering if I have an error
in my code or if there was a Typo in the book.

If anyone has been able to successfully implement this method, I would
greatly appreciate some feedback on your experiences.

Thanks in advance for your help.

I look forward to hearing back from you.

Best regards,

Andrew