Portfolio Selection with Jumps under Regime Switching

Portfolio Selection with Jumps under Regime Switching

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 andmultiple 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 ...

Generalized Mean-Variance Portfolio Selection Model with Regime Switching

In this paper we deal with a generalized multi-period mean-variance portfolio selection problem with the market parameters subject to Markov random regime switchings. We present necessary and sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period mean-variance model, based on a recursive procedure. The analytical solution of our model provides ...

Portfolio Selection in the Enlarged Markovian Regime-Switching Market

Regime switching based portfolio selection for pension funds

This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well as for the g...

Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences

This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are deÞned over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime switching process that can capture bull and bear states. We develop analytical methods that only require so...