DOAJ Open Access 2017

Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative

Andreas Hermes Stanislaus Maier-Paape

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Abstrak

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.

Topik & Kata Kunci

Insurance

Penulis (2)

Andreas Hermes

Stanislaus Maier-Paape

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APA MLA BibTeX

Hermes, A., Maier-Paape, S. (2017). Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative. https://doi.org/10.3390/risks5030044

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Lihat di Sumber doi.org/10.3390/risks5030044

Informasi Jurnal

Tahun Terbit: 2017
Sumber Database: DOAJ
DOI: 10.3390/risks5030044
Akses: Open Access ✓