This paper studies the optimal investment with random exchange rates under Knightian uncertainty and regime switching. Firstly, by using an It formula, the dynamics of profit flow under regime switching is obtained. Secondly, α- maxmin expected utility (α-MEU) model is utilized to characterize an investor’s expected value of the investment. Thirdly, the profit flow calculation formula with random exchange rates are de-rived by the stochastic calculus, and the critical present values of the profit flow are also given. Finally, numerical simulations are provided to explain the effect of the parameters on an investor’s investment decisions.