Shen, Yang; Siu, Tak Kuen - In: Economic Modelling 29 (2012) 4, pp. 1126-1136
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account, a share and a zero-coupon bond, where stochastic movements of the short rate and the share...