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

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 pointminimax problemsoptimal portfoliomutual fund theoremcontinuous time marketfixed 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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