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...

We consider a multidimensional, continuous-time model where the observation process is a diffusion with drift and volatility coefficients being modeled as continuous-time, finite-state Markov chains with a common state process. For the econometric estimation of the states for drift and...