Maximin setting for investment problems and fixed income management with observable but non-predictable parameters
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- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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- Nikolai Dokuchaev & Ulrich Haussmann, 2002. "Optimal portfolio selection and compression in an incomplete market," Papers math/0207260, arXiv.org.
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