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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2013 (2013), Article ID 2

Optimal portfolio and wealth valuation strategies with stochastic cash flows dependent on the optimal wealth

Charles I. Nkeki

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Abstract

This paper examines and study the optimal portfolio and wealth valuation involving stochastic cash inflows and stochastic cash outflows for a certain investor who trades in a complete diffusion models, receives a stochastic cash inflows and pays a stochastic outflows. The dynamics of the wealth process is assumed to involved two risky assets and a cash account. We established the optimal value of wealth and show that the cash inflows and cash outflows depend on the optimal wealth of the investor.

Published
19 March 2013
Volume
2013 (2013)
License
CC BY 3.0

Copyright © 2013 Charles I. Nkeki. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this article

C. I. Nkeki, Optimal portfolio and wealth valuation strategies with stochastic cash flows dependent on the optimal wealth, Math. Finance Lett. 2013 (2013), 2.

BibTeX
@article{Nkeki2013,
  author  = {Nkeki, Charles I.},
  title   = {Optimal portfolio and wealth valuation strategies with stochastic cash flows dependent on the optimal wealth},
  journal = {Math. Finance Lett.},
  volume  = {2013},
  year    = {2013},
  pages   = {2},
  doi     = {}
}