Journal article

Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows When the Stock Price Is a Semimartingale


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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.


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Last updated on 2025-26-03 at 15:45