%0 Journal Article
%T Optimal Portfolio Selection in an It£¿¨CMarkov Additive Market
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7010034
%X We study a portfolio selection problem in a continuous-time It£¿¨CMarkov additive market with prices of financial assets described by Markov additive processes that combine L¨¦vy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion risk and the regime switching risk. For this reason, the market is incomplete. We complete the market by enlarging it with the use of a set of Markovian jump securities, Markovian power-jump securities and impulse regime switching securities. Moreover, we give conditions under which the market is asymptotic-arbitrage-free. We solve the portfolio selection problem in the It£¿¨CMarkov additive market for the power utility and the logarithmic utility. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/1/34