Erlwein-Sayer, Christina; Grimm, Stefanie; Ruckdeschel, … - In: SSRN eLibrary (2016)
We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different states. We consider different parametrizations of...