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    Dimension reduction and Mutual Fund Theorem in maximin setting for bond market

    164724_164724.pdf (136.2Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2011
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Dokuchaev, Nikolai. 2011. Dimension reduction and Mutual Fund Theorem in maximin setting for bond market. Discrete and Continuous Dynamical Systems. 16 (4): pp. 1039-1053.
    Source Title
    Discrete and Continuous Dynamical Systems
    DOI
    10.3934/dcdsb.2011.16.1039
    ISSN
    10780947
    School
    Department of Mathematics and Statistics
    Remarks

    This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Discrete and Continuous Dynamical Systems following peer review. The definitive publisher-authenticated version: Dokuchaev, Nikolai. 2011. Dimension reduction and Mutual Fund Theorem in maximin setting for bond market. Discrete and Continuous Dynamical Systems. 16 (4): pp. 1039-1053. is available online at: http://dx.doi.org/10.3934/dcdsb.2011.16.1039

    URI
    http://hdl.handle.net/20.500.11937/31883
    Collection
    • Curtin Research Publications
    Abstract

    We study optimal investment problem for a continuous time stochasticmarket model. The risk-free rate, the appreciation rates, and thevolatility of the stocks are all random; they are not necessaryadapted to the driving Brownian motion, their distributions areunknown, and they are supposed to be currently observable. To coverfixed income management problems, we assume that the number of riskyassets can be larger than the number of driving Brownian motion. Theoptimal investment problem is stated as a problem with a {\itmaximin} performance criterion to ensure that a strategy is foundsuch that the minimum of expected utility over all possibleparameters is maximal. We show that Mutual Fund Theorem holds forthis setting. We found also that a saddle point exists and can befound via minimization over a single scalar parameter.

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