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

Author:

Dokuchaev Nikolai,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics

Reference19 articles.

1. Risk sensitive control with applications to fixed income portfolio management,;T. R. Bielecki;"European Congress of Mathematics, Vol. II",2001

2. The role of learning in dynamic portfolio decisions,;M. J. Brennan;European Finance Review,1998

3. Minimizing expected loss of hedging in incomplete and constrained markets,;J. Cvitanić;SIAM J. of Control and Optimization,2000

4. On dynamic measures of risk,;J. Cvitanić;Finance and Stochastics,1999

5. Maximin investment problems for discounted and total wealth,;N. Dokuchaev;IMA Journal Management Mathematics,2008

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. On the structure of multifactor optimal portfolio strategies;ESAIM: Control, Optimisation and Calculus of Variations;2018

2. Mutual Funds Theorem for Continuous Time Markets;SSRN Electronic Journal;2010

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