Dimension reduction and mutual fund theorem in maximin setting for Bond market

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Publication:652180

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DOI10.3934/DCDSB.2011.16.1039zbMath1229.93165OpenAlexW2055164150MaRDI QIDQ652180

Nikolai G. Dokuchaev

Publication date: 13 December 2011

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2011.16.1039

zbMATH Keywords

saddle point minimax problems optimal portfolio mutual fund theorem continuous time market fixed income management

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of solutions for minimax problems (49J35) Financial applications of other theories (91G80) Portfolio theory (91G10)

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