Next Article in Journal
Optimal Insurance Policies in the Presence of Costs
Previous Article in Journal
A Low Price Correction for Improved Volatility Estimation and Forecasting
Open AccessArticle

Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Institute for Mathematics, RWTH Aachen University, Templergraben 55, D-52062 Aachen, Germany
*
Author to whom correspondence should be addressed.
Academic Editor: Mogens Steffensen
Risks 2017, 5(3), 44; https://doi.org/10.3390/risks5030044
Received: 5 May 2017 / Revised: 12 August 2017 / Accepted: 25 August 2017 / Published: 28 August 2017
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
Show Figures

Figure 1

MDPI and ACS Style

Hermes, A.; Maier-Paape, S. Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative. Risks 2017, 5, 44.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop