{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,24]],"date-time":"2026-06-24T08:50:24Z","timestamp":1782291024884,"version":"3.54.5"},"reference-count":31,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2026,1,23]],"date-time":"2026-01-23T00:00:00Z","timestamp":1769126400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["cambridge.org"],"crossmark-restriction":true},"short-container-title":["J. Appl. Probab."],"published-print":{"date-parts":[[2026,6]]},"abstract":"<jats:title>Abstract<\/jats:title>\n                  <jats:p>We investigate some investment problems related to maximizing the expected utility of the terminal wealth in a continuous-time It\u00f4\u2013Markov additive market. In this market, the prices of financial assets are described by Markov additive processes that combine L\u00e9vy 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.<\/jats:p>","DOI":"10.1017\/jpr.2025.10056","type":"journal-article","created":{"date-parts":[[2026,1,23]],"date-time":"2026-01-23T04:50:15Z","timestamp":1769143815000},"page":"811-827","update-policy":"https:\/\/doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":0,"title":["Some stability results of optimal investment in an It\u00f4\u2013Markov additive market"],"prefix":"10.1017","volume":"63","author":[{"given":"Li","family":"Wang","sequence":"first","affiliation":[{"name":"Beijing University of Chemical Technology"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Wenting","family":"Shou","sequence":"additional","affiliation":[{"name":"Beijing University of Chemical Technology"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Suyao","family":"Yu","sequence":"additional","affiliation":[{"name":"Beijing University of Chemical Technology"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2026,1,23]]},"reference":[{"key":"S0021900225100569_ref28","volume-title":"Markov-Modulated Processes and Semi-regenerative Phenomena","author":"Tang","year":"2008"},{"key":"S0021900225100569_ref4","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024902001523"},{"key":"S0021900225100569_ref29","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(99)00089-5"},{"key":"S0021900225100569_ref9","volume-title":"Controlled Markov Processes and Viscosity Solutions","volume":"25","author":"Fleming","year":"2006"},{"key":"S0021900225100569_ref26","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-02619-9"},{"key":"S0021900225100569_ref17","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511546624"},{"key":"S0021900225100569_ref16","volume-title":"Brownian Motion and Stochastic Calculus","volume":"113","author":"Karatzas","year":"1991"},{"key":"S0021900225100569_ref5","doi-asserted-by":"publisher","DOI":"10.1007\/s00245-005-0846-x"},{"key":"S0021900225100569_ref25","first-page":"479","article-title":"Optimal consumption, investment and insurance with insurable risk for an investor in a L\u00e9vy market","volume":"46","author":"Perera","year":"2010","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0021900225100569_ref20","first-page":"621","volume-title":"Optimum consumption and portfolio rules in a continuous-time model, in: Stochastic Optimization Models in Finance","author":"Merton","year":"1975"},{"key":"S0021900225100569_ref8","doi-asserted-by":"publisher","DOI":"10.1007\/s10436-005-0013-z"},{"key":"S0021900225100569_ref6","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-004-0139-2"},{"key":"S0021900225100569_ref11","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"S0021900225100569_ref14","unstructured":"[14] Ikeda, N. , Watanabe, S. , 1989. Stochastic Differential Equations and Diffusion Processes. volume Second. Amsterdam."},{"key":"S0021900225100569_ref1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176995579"},{"key":"S0021900225100569_ref23","doi-asserted-by":"publisher","DOI":"10.1080\/07362994.2018.1434417"},{"key":"S0021900225100569_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(81)90026-0"},{"key":"S0021900225100569_ref31","first-page":"57","article-title":"Optimal investment and risk control policies for an insurer: expected utility maximization","volume":"58","author":"Zou","year":"2014","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0021900225100569_ref12","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(79)90043-7"},{"key":"S0021900225100569_ref10","first-page":"611","article-title":"A stability result for the HARA class with stochastic interest rates","volume":"33","author":"Grasselli","year":"2003","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0021900225100569_ref30","doi-asserted-by":"publisher","DOI":"10.1137\/S0363012999356325"},{"key":"S0021900225100569_ref22","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4149(00)00035-1"},{"key":"S0021900225100569_ref21","first-page":"445","article-title":"Some stability results of optimal investment in a simple L\u00e9vy market","volume":"42","author":"Niu","year":"2008","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0021900225100569_ref27","unstructured":"[27] Sulima, A. , 2019. Optimal portfolio selection in an It\u00f4-Markov Black-Scholes-Merton market. Ph.D. thesis."},{"key":"S0021900225100569_ref7","unstructured":"[7] Elliott, R.J. , Aggoun, L. , Moore, J. , 1994. Hidden Markov Models: Estimation and Control."},{"key":"S0021900225100569_ref19","doi-asserted-by":"publisher","DOI":"10.2307\/1926560"},{"key":"S0021900225100569_ref3","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"S0021900225100569_ref2","doi-asserted-by":"publisher","DOI":"10.1023\/A:1009707929295"},{"key":"S0021900225100569_ref15","doi-asserted-by":"publisher","DOI":"10.1090\/crmm\/008"},{"key":"S0021900225100569_ref18","doi-asserted-by":"publisher","DOI":"10.1007\/s10957-013-0445-y"},{"key":"S0021900225100569_ref24","doi-asserted-by":"publisher","DOI":"10.3390\/risks7010034"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900225100569","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,6,24]],"date-time":"2026-06-24T08:36:42Z","timestamp":1782290202000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0021900225100569\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,1,23]]},"references-count":31,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2026,6]]}},"alternative-id":["S0021900225100569"],"URL":"https:\/\/doi.org\/10.1017\/jpr.2025.10056","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"value":"0021-9002","type":"print"},{"value":"1475-6072","type":"electronic"}],"subject":[],"published":{"date-parts":[[2026,1,23]]},"assertion":[{"value":"\u00a9 The Author(s), 2026. 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