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

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

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

Recommendations

• Mutual fund theorem for continuous time markets with random coefficients
• Maximin investment problems for discounted and total wealth
• A generalization of the mutual fund theorem
• On the structure of multifactor optimal portfolio strategies
• Optimal portfolio choice in the bond market

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 (3)

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

This page was built for publication: Dimension reduction and mutual fund theorem in maximin setting for Bond market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q652180)