Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
Portfolio Management
2017-03-03 v1
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.
Keywords
Cite
@article{arxiv.1703.00476,
title = {Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative},
author = {Andreas Hermes and Stanislaus Maier-Paape},
journal= {arXiv preprint arXiv:1703.00476},
year = {2017}
}