We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk, we formulate the risk-based asset allocation problem as a zero-sum, two-person, stochastic differential game between the investor and the market. The HJB dynamic programming approach is used to discuss the game problem. A semi-analytical solution of the game problem is obtained in a particular case.
- Asset allocation
- Convex risk measures
- Pure jump processes
- Regime switching
- Stochastic differential games