Portfolio Selection with Jumps under Regime Switching
Author
Source
International Journal of Stochastic Analysis
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-22, 22 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-07-28
Country of Publication
Egypt
No. of Pages
22
Main Subjects
Abstract 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.
American Psychological Association (APA)
Zhao, Lin. 2010. Portfolio Selection with Jumps under Regime Switching. International Journal of Stochastic Analysis،Vol. 2010, no. 2010, pp.1-22.
https://search.emarefa.net/detail/BIM-491425
Modern Language Association (MLA)
Zhao, Lin. Portfolio Selection with Jumps under Regime Switching. International Journal of Stochastic Analysis No. 2010 (2010), pp.1-22.
https://search.emarefa.net/detail/BIM-491425
American Medical Association (AMA)
Zhao, Lin. Portfolio Selection with Jumps under Regime Switching. International Journal of Stochastic Analysis. 2010. Vol. 2010, no. 2010, pp.1-22.
https://search.emarefa.net/detail/BIM-491425
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-491425
