Portfolio Selection with Jumps under Regime Switching

Lin Zhao

International Journal of Stochastic Analysis, 2010, vol. 2010, 1-22

Abstract:

We investigate a continuous-time version of the mean-variance portfolio selection model with jumps under regime switching. The portfolio selection is proposed and analyzed for a market consisting of one bank account and multiple stocks. The random regime switching is assumed to be independent of the underlying Brownian motion and jump processes. A Markov chain modulated diffusion formulation is employed to model the problem.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:697257

DOI: 10.1155/2010/697257

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