This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both 'Normal' and leptokurtotic distributions.

Contents:

Preface
About the Author
List of Figures
List of Tables
Introduction
Mean–Variance Optimization and the Sharpe Ratio
Analytical Framework
Utility Theory-Based Portfolio Choice
Thinking about How to Solve Trading Problems
Barrier Trading Algorithms
Ex Post Analysis
References
Index