A new jump diffusion regime-switching model is introduced, which allows for
linking jumps in asset prices with regime changes. We prove the existence and
uniqueness of the solution to the risk-sensitive asset management criterion
maximisation problem in this setting. We provide an ODE for the optimal value
function, which may be efficiently solved numerically. Relevant probability
measure changes are discussed in the appendix. The approach of Klebaner and
Lipster (2014) is used to prove the martingale property of the relevant density
processes.Comment: 23 pages, 1 figur
