Portfolio Selection with Jumps under Regime Switching | Zendy

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Portfolio Selection with Jumps under Regime Switching

Author(s) -

Lin Zhao

Publication year - 2010

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2010/697257

Subject(s) - portfolio , jump diffusion , selection (genetic algorithm) , brownian motion , markov chain , mathematics , jump , variance (accounting) , diffusion , statistical physics , econometrics , mathematical optimization , computer science , economics , statistics , physics , financial economics , artificial intelligence , accounting , quantum mechanics , thermodynamics

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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