Portfolio selection with jumps under regime switching (Q1958452)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio selection with jumps under regime switching |
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Portfolio selection with jumps under regime switching (English)
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29 September 2010
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Summary: 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.
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