Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 21 (2014) 1, pp. 35-66
We consider the portfolio optimization problem for the criterion of maximization of expected terminal log-utility. The underlying market model is a regime-switching diffusion model where the regime is determined by an unobservable factor process forming a finite state Markov process. The main...