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A Dynamic Implementations of the Leverage Space Portfolio

18 Pages Posted: 11 Mar 2013  

Qiji Jim Zhu

Western Michigan University

Ralph Vince

Vince Strategies LLC

Steven Malinsky

Connors Global Indexes, LLC

Date Written: July 23, 2012

Abstract

We discuss here a dynamic implementation of the leverage space portfolio theory in the form of DJ-LSP position sizing index implemented the Dow Jones indexes. Our emphasis in this case study is on the practical issues related to the implementation.

Keywords: Dynamic portfolio, money management, risk control

JEL Classification: C52, G11

Suggested Citation

Zhu, Qiji Jim and Vince, Ralph and Malinsky, Steven, A Dynamic Implementations of the Leverage Space Portfolio (July 23, 2012). Available at SSRN: https://ssrn.com/abstract=2230866 or http://dx.doi.org/10.2139/ssrn.2230866

Qiji Zhu (Contact Author)

Western Michigan University ( email )

Kalamazoo, MI 49008
United States

Ralph Vince

Vince Strategies LLC ( email )

405 Lexington Ave - 26th fl
New York, NY 10174
United States

HOME PAGE: http://vinceprime.com

Steven Malinsky

Connors Global Indexes, LLC ( email )

10 Exchange Place, Suite 1800
Jersey City, NJ 07302
United States

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