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Risks 2017, 5(3), 44; doi:10.3390/risks5030044

Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Institute for Mathematics, RWTH Aachen University, Templergraben 55, D-52062 Aachen, Germany
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Academic Editor: Mogens Steffensen
Received: 5 May 2017 / Revised: 12 August 2017 / Accepted: 25 August 2017 / Published: 28 August 2017
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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. View Full-Text
Keywords: fractional trading; optimal f; multivariate discrete terminal wealth relative; risk and money management; portfolio theory fractional trading; optimal f; multivariate discrete terminal wealth relative; risk and money management; portfolio theory
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Hermes, A.; Maier-Paape, S. Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative. Risks 2017, 5, 44.

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