Portfolio selection with jumps under regime switching
type: Item
instance of: scholarly article
title: Portfolio selection with jumps under regime switching
zbMATH Open document ID: 1200.91287
DOI: 10.1155/2010/697257
author: Lin Zhao
published in: International Journal of Stochastic Analysis
publication date: 2010-09-29T00:00:00Z
full work available at URL: https://eudml.org/doc/229402
review text: 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.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 5793396
Wikidata QID: Q58651968
MaRDI profile type: Publication
OpenAlex ID: W2117056335
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description: scientific article; zbMATH DE number 5793396