- Article
 
Optimal Portfolio Selection in an Itô–Markov Additive Market
- Zbigniew Palmowski,
 - Łukasz Stettner and
 - Anna Sulima
 
We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model...

