Some stability results of optimal investment in an Itô–Markov additive market
Abstract
Abstract We investigate some investment problems related to maximizing the expected utility of the terminal wealth in a continuous-time Itô–Markov additive market. In this market, the prices of financial assets are described by Markov additive processes that combine Lévy processes with regime-switching models. We give explicit expressions for the solutions to the portfolio selection problem for the hyperbolic absolute risk aversion (HARA) utility, the exponential utility, and the extended logarithmic utility. In addition, we demonstrate that the solutions for the HARA utility are stable in terms of weak convergence when the parameters vary in a suitable way.
Fields of Study & Subjects
Stochastic processes and financial applications
Risk and Portfolio Optimization
Capital Investment and Risk Analysis
Publication details
- Journal / source
- Journal of Applied Probability
- Publisher
- Cambridge University Press (CUP)
- Volume
- 63
- Issue
- 2
- Pages
- 811–827
- Publication date
- 23 January 2026
- Language
- EN