Portfolio Selection with Jumps under Regime Switching

الملخص EN

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.