| 完备市场下亏空风险的最小化 |
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| 引用本文：杨云锋,金浩.完备市场下亏空风险的最小化[J].经济数学,2011,(4):30-33 |
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| 中文摘要:假定股票价格服从跳扩散过程，在完备市场的条件下，讨论了小额投资人投资行为的风险以及亏空风险最小化的财富优化问题，利用随机分析的方法证明了存在优化投资组合使风险最小化，给出了优化投资组合、优化财富过程、最终价值. |
| 中文关键词:跳扩散过程 等价鞅测度 财富优化 |
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| Minimizing of Shortfall Risk under Complete Financial Markets |
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| Abstract:We consider the problem of minimization of shortfall risk under complete financial markets when there are market risks and wealth optimization. In performing the existence of an optimal portfolio, we employ the conventional stochastic analysis methods. Furthermore, the optimal portfolio, the value function and the optimal terminal wealth are deduced. |
| keywords:jump-diffusion process equivalent martingale measure wealth optimization |
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