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Preface
Dimension reduction and Mutual Fund Theorem in maximin setting for bond market
1.  Department of Mathematics and Statistics, Curtin University, GPO Box U1987, Perth, Western Australia, 6845, Australia 
References:
[1] 
T. R. Bielecki and S. R. Pliska, Risk sensitive control with applications to fixed income portfolio management,, "European Congress of Mathematics, Vol. II", 202 (2001), 331. Google Scholar 
[2] 
M. J. Brennan, The role of learning in dynamic portfolio decisions,, European Finance Review, 1 (1998), 295. doi: 10.1023/A:1009725805128. Google Scholar 
[3] 
J. Cvitanić, Minimizing expected loss of hedging in incomplete and constrained markets,, SIAM J. of Control and Optimization, 38 (2000), 1050. doi: 10.1137/S036301299834185X. Google Scholar 
[4] 
J. Cvitanić and I. Karatzas, On dynamic measures of risk,, Finance and Stochastics, 3 (1999), 451. Google Scholar 
[5] 
N. Dokuchaev, Maximin investment problems for discounted and total wealth,, IMA Journal Management Mathematics, 19 (2008), 63. doi: 10.1093/imaman/dpm031. Google Scholar 
[6] 
N. Dokuchaev, "Mathematical Finance: Core Theory, Problems, and Statistical Algorithms,", Routledge, (2007). doi: 10.4324/9780203964729. Google Scholar 
[7] 
N. Dokuchaev, Saddle points for maximin investment problems with observable but nonpredictable parameters: Solution via heat equation,, IMA J. Management Mathematics, 17 (2006), 257. doi: 10.1093/imaman/dpi041. Google Scholar 
[8] 
N. G. Dokuchaev, Optimal solution of investment problems via linear parabolic equations generated by Kalman filter,, SIAM J. of Control and Optimization, 44 (2005), 1239. doi: 10.1137/S036301290342557X. Google Scholar 
[9] 
N. G. Dokuchaev and U. Haussmann, Optimal portfolio selection and compression in an incomplete market,, Quantitative Finance, 1 (2001), 336. doi: 10.1088/14697688/1/3/305. Google Scholar 
[10] 
N. G. Dokuchaev and K. L. Teo, "A Duality Approach to an Optimal Investment Problem with Unknown and Nonobservable Parameters,", Department of Applied Mathematics, (1998). Google Scholar 
[11] 
N. G. Dokuchaev and K. L. Teo, Optimal hedging strategy for a portfolio investment problem with additional constraints,, Dynamics of Continuous, 7 (2000), 385. Google Scholar 
[12] 
I. Karatzas and S. E. Shreve, "Methods of Mathematical Finance,", Applications of Mathematics (New York), 39 (1998). Google Scholar 
[13] 
A. Khanna and M. Kulldorff, A generalization of the mutual fund theorem,, Finance and Stochastics, 3 (1999), 167. doi: 10.1007/s007800050056. Google Scholar 
[14] 
S. Komuro and H. Konno, Empirical studies on internationally diversified investment using a stockbond integrated model,, Journal of Industrial and Management Optimization, 1 (2005), 433. Google Scholar 
[15] 
D. Lambertone and B. Lapeyre, "Introduction to Stochastic Calculus Applied to Finance,", Chapman & Hall, (1996). Google Scholar 
[16] 
Libin Mou and Jiongmin Yong, Twoperson zerosum linear quadratic stochastic differential games by a Hilbert space method,, Journal of Industrial and Management Optimization, 2 (2006), 95. Google Scholar 
[17] 
M. Rutkowski, Selffinancing trading strategies for sliding, rollinghorizon, and consol bonds,, Mathematical Finance, 9 (1999), 361. doi: 10.1111/14679965.00074. Google Scholar 
[18] 
W. Schachermayer, M. Sîrbu and E. Taflin, In which financial markets do mutual fund theorems hold true?,, Finance and Stochastics, 13 (2009), 49. doi: 10.1007/s007800080072x. Google Scholar 
[19] 
M. Yaari, The dual theory of choice under risk,, Econometrica, 55 (1987), 95. doi: 10.2307/1911158. Google Scholar 
show all references
References:
[1] 
T. R. Bielecki and S. R. Pliska, Risk sensitive control with applications to fixed income portfolio management,, "European Congress of Mathematics, Vol. II", 202 (2001), 331. Google Scholar 
[2] 
M. J. Brennan, The role of learning in dynamic portfolio decisions,, European Finance Review, 1 (1998), 295. doi: 10.1023/A:1009725805128. Google Scholar 
[3] 
J. Cvitanić, Minimizing expected loss of hedging in incomplete and constrained markets,, SIAM J. of Control and Optimization, 38 (2000), 1050. doi: 10.1137/S036301299834185X. Google Scholar 
[4] 
J. Cvitanić and I. Karatzas, On dynamic measures of risk,, Finance and Stochastics, 3 (1999), 451. Google Scholar 
[5] 
N. Dokuchaev, Maximin investment problems for discounted and total wealth,, IMA Journal Management Mathematics, 19 (2008), 63. doi: 10.1093/imaman/dpm031. Google Scholar 
[6] 
N. Dokuchaev, "Mathematical Finance: Core Theory, Problems, and Statistical Algorithms,", Routledge, (2007). doi: 10.4324/9780203964729. Google Scholar 
[7] 
N. Dokuchaev, Saddle points for maximin investment problems with observable but nonpredictable parameters: Solution via heat equation,, IMA J. Management Mathematics, 17 (2006), 257. doi: 10.1093/imaman/dpi041. Google Scholar 
[8] 
N. G. Dokuchaev, Optimal solution of investment problems via linear parabolic equations generated by Kalman filter,, SIAM J. of Control and Optimization, 44 (2005), 1239. doi: 10.1137/S036301290342557X. Google Scholar 
[9] 
N. G. Dokuchaev and U. Haussmann, Optimal portfolio selection and compression in an incomplete market,, Quantitative Finance, 1 (2001), 336. doi: 10.1088/14697688/1/3/305. Google Scholar 
[10] 
N. G. Dokuchaev and K. L. Teo, "A Duality Approach to an Optimal Investment Problem with Unknown and Nonobservable Parameters,", Department of Applied Mathematics, (1998). Google Scholar 
[11] 
N. G. Dokuchaev and K. L. Teo, Optimal hedging strategy for a portfolio investment problem with additional constraints,, Dynamics of Continuous, 7 (2000), 385. Google Scholar 
[12] 
I. Karatzas and S. E. Shreve, "Methods of Mathematical Finance,", Applications of Mathematics (New York), 39 (1998). Google Scholar 
[13] 
A. Khanna and M. Kulldorff, A generalization of the mutual fund theorem,, Finance and Stochastics, 3 (1999), 167. doi: 10.1007/s007800050056. Google Scholar 
[14] 
S. Komuro and H. Konno, Empirical studies on internationally diversified investment using a stockbond integrated model,, Journal of Industrial and Management Optimization, 1 (2005), 433. Google Scholar 
[15] 
D. Lambertone and B. Lapeyre, "Introduction to Stochastic Calculus Applied to Finance,", Chapman & Hall, (1996). Google Scholar 
[16] 
Libin Mou and Jiongmin Yong, Twoperson zerosum linear quadratic stochastic differential games by a Hilbert space method,, Journal of Industrial and Management Optimization, 2 (2006), 95. Google Scholar 
[17] 
M. Rutkowski, Selffinancing trading strategies for sliding, rollinghorizon, and consol bonds,, Mathematical Finance, 9 (1999), 361. doi: 10.1111/14679965.00074. Google Scholar 
[18] 
W. Schachermayer, M. Sîrbu and E. Taflin, In which financial markets do mutual fund theorems hold true?,, Finance and Stochastics, 13 (2009), 49. doi: 10.1007/s007800080072x. Google Scholar 
[19] 
M. Yaari, The dual theory of choice under risk,, Econometrica, 55 (1987), 95. doi: 10.2307/1911158. Google Scholar 
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