Silas A. Ihedioha

The Impact of Consumption on an Investor’s Strategy under Stochastic Interest Rate and Correlating Brownian Motions

Silas A. Ihedioha, Ubani, Sunday Iheanyi & Njoku, Iheanyi Odochi · Asian Research Journal of Mathematics · 2017

In this work, we consider that an investor’s portfolio comprises of two assets- a risk-free asset driven by Ornstein-Uhlenbeck Stochastic interest rate of return model and the second asset a risky stock with a price process governed by the geometric Brownian motion. It is also co...

Open access Research Article 10.9734/ARJOM/2017/35737

Investor’s Power Utility Optimization with Consumption, Tax, Dividend and Transaction Cost under Constant Elasticity of Variance Model

Silas A. Ihedioha · Asian Research Journal of Mathematics · 2017

This work considered an investor’s portfolio where consumption, taxes, transaction costs and dividends are in involved, under constant elasticity of variance (CEV). The stock price is assumed to be governed by a constant elasticity of variance CEV model and the goal is to maximiz...

Open access Research Article 10.9734/ARJOM/2017/33425