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dc.contributor.authorDokuchaev, Nikolai
dc.date.accessioned2017-01-30T13:27:56Z
dc.date.available2017-01-30T13:27:56Z
dc.date.created2011-09-04T20:01:16Z
dc.date.issued2011
dc.identifier.citationDokuchaev, Nikolai. 2011. Dimension reduction and Mutual Fund Theorem in maximin setting for bond market. Discrete and Continuous Dynamical Systems. 16 (4): pp. 1039-1053.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/31883
dc.identifier.doi10.3934/dcdsb.2011.16.1039
dc.description.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.

dc.publisherAmerican Institute of Mathematical Sciences
dc.subjectsaddle point
dc.subjectcontinuous time market
dc.subjectMutual fund Theorem
dc.subjectminimax problems
dc.subjectoptimal portfolio
dc.subjectfixed income management
dc.titleDimension reduction and Mutual Fund Theorem in maximin setting for bond market
dc.typeJournal Article
dcterms.source.volume16
dcterms.source.number4
dcterms.source.startPage1039
dcterms.source.endPage1053
dcterms.source.issn10780947
dcterms.source.titleDiscrete and Continuous Dynamical Systems
curtin.note

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

curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusOpen access


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