International Journal of Stochastic Analysis
Volume 2010 (2010), Article ID 697257, 22 pages
Research Article

Portfolio Selection with Jumps under Regime Switching

Department of Mathematics, University of Wales Swansea, Swansea SA2 8PP, UK

Received 23 February 2010; Accepted 10 June 2010

Academic Editor: Hideo Nagai

Copyright © 2010 Lin Zhao. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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.