Optimal portfolio management in a vasicek framework with minimum performance constraints

Assume the stochastic short-term interest rate follows the Vasieck dynamics. The optimal investment problem for a riskless asset, a rolling horizon bond, and single risky stock is developed. The investment objective is maximizing the expected utility from the terminal wealth with minimum performance constraints. The problem has been solved by the martingale approach. The explicitly optimal investment strategy and optimal wealth with HARA utility are obtained. A numerical example is presented.