In view of nonlinear time series of assets' returns, two states hidden Markov model is used to construct a continuous-time model of portfolio choice under regime-switching, and explicit optimal investment policies are obtained by using the dynamic programming method. The investors' portfolio choice behaviors are simulated by using the Monte Carlo method. The market state uncertainty will cause investors to hedge against the uncertainty risk. The hedging portfolio is depended on investors' beliefs. When the smaller the volatility of risky assets, a slight change of investors' beliefs will cause more changes of hedging portfolio. The bigger the risk-aversion is, the less the sensitive to investors' state belief the hedging portfolio is.