## Abstract

We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financial market when an economic agent faces model uncertainty and seeks a robust optimal portfolio strategy. The key market parameters are assumed to be modulated by a continuous-time, finite-state Markov chain whose states are interpreted as different states of an economy. The goal of the agent is to maximize the minimal expected utility of terminal wealth over a family of probability measures in a finite time horizon. The problem is then formulated as a Markovian regime-switching version of a two-player, zero-sum stochastic differential game between the agent and the market. We solve the problem by the Hamilton-Jacobi-Bellman approach.

Original language | English |
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Pages (from-to) | 145-157 |

Number of pages | 13 |

Journal | Methodology and Computing in Applied Probability |

Volume | 11 |

Issue number | 2 SPEC. ISS. |

DOIs | |

Publication status | Published - Jun 2009 |

Externally published | Yes |

## Keywords

- Change of measures
- Model uncertainty
- Robust optimal portfolio
- Stochastic differential game
- Utility maximization