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

DOI10.3934/DCDSB.2011.16.1039MaRDI QIDQ652180zbMATHOpenAlexFDO

Authors Nikolai 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

minimax problemsoptimal portfoliosaddle pointmutual fund theoremcontinuous time marketfixed income management

Mathematics Subject Classification ID

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

Recommendations

• Mutual fund theorem for continuous time markets with random coefficients
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Cited in

(3)

• On the structure of multifactor optimal portfolio strategies
• Maximin investment problems for discounted and total wealth
• Mutual fund theorem for continuous time markets with random coefficients

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