Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Andreas Hermes and Stanislaus Maier-Paape
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Andreas Hermes: Institute for Mathematics, RWTH Aachen University, Templergraben 55, D-52062 Aachen, Germany
Stanislaus Maier-Paape: Institute for Mathematics, RWTH Aachen University, Templergraben 55, D-52062 Aachen, Germany

Risks, 2017, vol. 5, issue 3, 1-19

Abstract: In this paper, the multivariate fractional trading ansatz of money management from Vince (Vince 1990) is discussed. In particular, we prove existence and uniqueness of an “optimal f ” of the respective optimization problem under reasonable assumptions on the trade return matrix. This result generalizes a similar result for the univariate fractional trading ansatz. Furthermore, our result guarantees that the multivariate optimal f solutions can always be found numerically by steepest ascent methods.

Keywords: fractional trading; optimal f; multivariate discrete terminal wealth relative; risk and money management; portfolio theory (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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