Yumiharu Nakano。Minimization of shortfall risk in a jump-diffusion model[J].Statistics & Probability Letters, Volume 67, Issue 1, 15 March 2004, Pages 87-95. Elesver 出版社
Ale Černý, Jan Kallsen MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION . Mathematical Finance,2008,13(3):473-492.
Jun Sekine. Dynamic Minimization of Worst Conditional Expectation of Shortfall . Mathematical Finance, 2004, 14(4:) 605-618. Blackwell 出版社.
[此贴子已经被作者于2008-11-1 22:39:27编辑过]