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Minimizing of Shortfall Risk in a Jump-Diffusion Model with Continuous Dividends

Yunfeng Yang, Hao Jin


We consider jump-diffusion asset price model being driven by a count process that more general than Poisson process. Supposing that risk assets pay continuous dividend regarded as the function of time. We discusses the problem of minimization of shortfall risk under complete financial markets . In perform the existence of an optimal portfolio, we employ the conventional stochastic analysis methods. We find explicit formula for the optimal portfolio, the value function and the optimal process wealth in some particular utility function.


optimization problem, equivalent martingale

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