Dynamic Asset Allocation with Multiple Risky Assets under the Vasicek Interest Rate Model

Assume that there are one risk-free asset and multiple risky assets in the financial market and risk-free interest rate is a stochastic process of dynamic change,which is driven by the Vasicek model.The Legendre transform and dynamic programming principle are applied to investigate the optimal investment strategy under utility maximizing criterion and the explicit solutions for power utility and exponential utility are derived.A numerical example is given to analyze the impact of model parameters on the optimal investment strategy.