Journal article
Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows When the Stock Price Is a Semimartingale
Research Areas Currently no objects available |
Publication Details Author list: Onthusitse Baraedi, Elias Offen Publisher: Scientific Research Publication year: 2016 Volume number: 6 Start page: 660 End page: 684 Number of pages: 25 ISSN: 2162-2434 eISSN: 2162-2442 URL: http://www.scirp.org/journal/jmf Languages: English |
This paper discusses optimal portfolio with discounted stochastic cash inflows (SCI). The cash inflows are invested into a market that is characterized by a stock and a cash account. It is assumed that the stock and the cash inflows are stochastic and the stock is modeled by a semi-martingale. The Inflation linked bond and the cash in flows are Geometric. The cash account is deterministic. We do some scientific ana lyses to see how the discounted stochastic cash inflow is affected by some of the pa rameters. Under this setting, we develop an optimal portfolio formula and later give some numerical results.
Projects
Currently no objects available
Currently no objects available |
Documents
Currently no objects available