Author(s)

Onthusitse Baraedi, Elias Offen

Department of Mathematics University of Botswana, Gaborone, Botswana.

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 inflows are Geometric. The cash account is deterministic. We do some scientific analyses to see how the discounted stochastic cash inflow is affected by some of the parameters. Under this setting, we develop an optimal portfolio formula and later give some numerical results.

Stochastic Cash Inflows, Portfolio, Inflation-Linked Bond, Semimartingale

Baraedi, O. and Offen, E. (2016) Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows When the Stock Price Is a Semimartingale. Journal of Mathematical Finance, 6, 660-684. doi: 10.4236/jmf.2016.64047.