摘要
在一定的假设条件下,利用扩大信息流方法解决了跳扩散环境下内部信息者的最小亏损风险策略问题.首先构建了内部信息者最小亏损风险策略模型,证明了内部信息市场的完备性.然后利用风险资产价格的Markov性和鞅表示定理得到了线性损失函数下的最小亏损风险最优策略和相应的价值函数.
Under some assumptions,this paper solves the problems of minimizing shortfall risk strategies for an insider in jump-diffusion models.The solutions are derived through enlarging filtration methods.To begin with constructing a minimizing shortfall risk portfolio model for an insider,the completeness of insider market is proved.Then,through the Markov property of risky assets and martingale representation theorem,the minimizing shortfall risk strategy and its value function for linear loss functions are prese...
出处
《高校应用数学学报（A辑）》
CSCD
北大核心
2008年第4期393-398,共6页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金
上海市重点建设学科项目(T0502)
