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arXiv · 1703.00476

Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Andreas Hermes·Stanislaus Maier-Paape
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Abstract

In this paper the multivariate fractional trading ansatz of money management from Ralph Vince (Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options, and Stock Markets, John Wiley & Sons, Inc., 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.

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Andreas Hermes, Stanislaus Maier-Paape. 2017-03-01. Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative. https://arxiv.org/abs/1703.00476

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