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Best Books on Risk and Position Sizing
Under a drawdown limit, sizing is the strategy. This shelf runs from the practical (Tharp) to the mathematical (Vince) to the cautionary (LTCM, Taleb).
Trade Your Way to Financial Freedom
The position sizing book: expectancy, R-multiples, and why the size you choose matters more than the system you trade.
Super Trader
Tharp's program for rebuilding your trading as a business: beliefs, systems, sizing, and a written business plan.
The Mathematics of Money Management
Optimal f and the hard math of bet sizing: how growth-optimal sizing behaves, and why it sits far closer to ruin than intuition says.
Fooled by Randomness
How luck masquerades as skill in markets, and how a good run can be the most dangerous thing that happens to a trader.
Against the Gods
The history of risk: from gambling math to modern finance, and how each era misunderstood the uncertainty it faced.
When Genius Failed
The fall of Long-Term Capital Management: Nobel laureates, extreme leverage, and a tail event that ignored the models.