Dimension reduction and Mutual Fund Theorem in maximin setting for bond market
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 cu...
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| Format: | Journal Article |
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American Institute of Mathematical Sciences
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/31883 |