Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Andreas Hermes, Stanislaus Maier-Paape
2017 Risks  
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.
doi:10.3390/risks5030044 fatcat:2ao6274fine5pof7sjq3nkhnj4