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

DOI10.3934/DCDSB.2011.16.1039zbMATH Open1229.93165OpenAlexW2055164150MaRDI QIDQ652180FDOQ652180

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

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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)

Cited In (1)

• On the structure of multifactor optimal portfolio strategies

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