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A Mathematical approach to fractional trading : Using the terminal wealth relative with discrete and continuous distributions
[thesis]

2016

The "optimal f" trading model based on discrete historical trading returns was introduced by Ralph Vince [Vin90, Vin08, Vin09] as an optimization approach for the "fixed fractional" money management strategy. Here a trader wants to invest a fixed percentage of his current capital for future investments. Since the percentage of the current capital used per trade is fixed, the absolute height of the capital to invest for each new trade depends on the outcomes of past investments. To determine an

doi:10.18154/rwth-2016-11976
fatcat:n2wmvqbkqvas5cevgmpuzx375u