Fu, Jun; Wei, Jiaqin; Yang, Hailiang - In: European Journal of Operational Research 233 (2014) 1, pp. 184-192
We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an option, an underlying stock and a risk-free bond. The difficulty that arises in our setting is...