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- W2807276351 abstract "We study a portfolio selection problem in a continuous-time Ito-Markov additive market with prices of financial assets described by Markov additive processes which combine Levy 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 Ito-Markov additive market for the power utility and the logarithmic utility." @default.
- W2807276351 created "2018-06-13" @default.
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- W2807276351 date "2018-06-09" @default.
- W2807276351 modified "2023-09-27" @default.
- W2807276351 title "Optimal portfolio selection in an It^o-Markov additive market" @default.
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