Konermann, Patrick; Meinerding, Christoph; Sedova, Olga - In: Review of Financial Economics 22 (2013) 1, pp. 36-46
We study the impact of financial contagion on the dynamic asset allocation problem of a CRRA investor facing an incomplete market with two risky assets. We apply a Markov chain regime-switching framework with state-dependent jump intensities, diffusion volatilities and diffusion correlations....