摘要翻译：
考虑了一个财富过程被无风险资产折现的连续路径半鞅市场模型。数字资产组合是唯一的严格正的财富过程，当它被用作所有其他财富的基准时，使所有财富过程成为局部鞅。假设数字资产组合存在，并且随着时间的推移，其财富增加到无穷大。在此设置下，通过包括数值组合的总体最小值来执行过滤的初始放大。在扩大过滤中，所有非负财富过程，当停止于数字资产组合的总体最小值时，都成为局部鞅。这意味着厌恶风险的内幕交易者在此之前不会投资于风险资产。在完全市场的情况下，也建立了与前一结果部分相反的结果，表明数值型投资组合总体最小值的时间在某种意义上是唯一的，使在它之前进行风险头寸的行为变得不可取。上述结果说明了数字投资组合作为整体市场表现指标的重要性。
---
英文标题：
《A time before which insiders would not undertake risk》
---
作者：
Constantinos Kardaras
---
最新提交年份：
2010
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
英文摘要：
  A continuous-path semimartingale market model with wealth processes discounted by a riskless asset is considered. The numeraire portfolio is the unique strictly positive wealth process that, when used as a benchmark to denominate all other wealth, makes all wealth processes local martingales. It is assumed that the numeraire portfolio exists and that its wealth increases to infinity as time goes to infinity. Under this setting, an initial enlargement of the filtration is performed, by including the overall minimum of the numeraire portfolio. It is established that all nonnegative wealth processes, when stopped at the time of the overall minimum of the numeraire portfolio, become local martingales in the enlarged filtration. This implies that risk-averse insider traders would refrain from investing in the risky assets before that time. A partial converse to the previous result is also established in the case of complete markets, showing that the time of the overall minimum of the numeraire portfolio is in a certain sense unique in rendering undesirable the act of undertaking risky positions before it. The aforementioned results shed light to the importance of the numeraire portfolio as an indicator of overall market performance.
---
PDF链接：
https://arxiv.org/pdf/1010.1961