Abstract We investigate some investment problems related to maximizing the expected utility of the terminal wealth in a continuous-time Itô–Markov additive market. In this market, the prices of financial assets are described by Markov additive processes that combine Lévy processes with regime-switching models. We give explicit expressions for the solutions to the portfolio selection problem for the hyperbolic absolute risk aversion (HARA) utility, the exponential utility, and the extended logarithmic utility. In addition, we demonstrate that the solutions for the HARA utility are stable in terms of weak convergence when the parameters vary in a suitable way.
Wang et al. (Fri,) studied this question.