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Название: The Mathematics of Money Management: Risk Analysis Techniques for Traders
Автор: Vince R.
This book must have been the best I've red on money management (position sizing). The author illustrates in a mathematical way how we can maximize the growth of our equity using his optimal f* formula. I think most people with a basic background in mathematics (and statistics) can understand the explenation on how optimal f* is determined and how we can calculate it. The math behind isn't that complicated (it's actually all sumarized in his equation 1.13 on page 31).
For the people having trouble to apply this method on backtested results, I advise Thomas Stridsman his book (How to build winning trading systems). He illustrates how to do this in MS Excel.
I'm currently using his optimal f* as a method to determine the maximum portfolio heat for my trading systems, but not immediatly applying it to position size al my entry orders. You can also use the f* to score your trading system.
Definitly advised to people with an interest in money management for trading systems.