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Portfolio Selection with Jumps under Regime Switching

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  • Lin Zhao

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.

Suggested Citation

  • Lin Zhao, 2010. "Portfolio Selection with Jumps under Regime Switching," International Journal of Stochastic Analysis, Hindawi, vol. 2010, pages 1-22, July.
    • Handle: RePEc:hin:jnijsa:697257
    DOI: 10.1155/2010/697257
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