Liu, J., Pan, J. and Wang, T. (2001) An Equilibrium Model of Rare Event Premia. Working Paper, UCLA, MIT Sloan, and UBC.

has been cited by the following article:

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

  AUTHORS: Onthusitse Baraedi, Elias Offen

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

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.4, November 9, 2016

  ABSTRACT: 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.