中文摘要：

该文讨论分数Black—Scholes市场上连续时间的资产组合模型．首先，找到基于BTSV的最小风险的可行资产组合；接着运用Cox和Huang提出的鞅方法得到最优期末财富及相应的最优投资策略．最后，借助数值分析法给出下跌风险的一些性质，分析结果表明Hurst参数H是一个不可忽略的因素．

英文摘要：

The paper is concerned with continuous time portfolio selection model in a complete Black-Scholes market driven by fractional Brownian motion with Hurst parameter H 〉 1/2. The objective is to find an admissible portfolio π to minimize the risk measured by below target semi-variance. By the martingale method in Cox and Huang, we derive the optimal terminal wealth and the corresponding optimal investment strategy. Finally, we numerically analyze the properties of Downside risk measure, the result shows that Hurst index H must not be lost sight.