On a stochastic version of the trading rule “Buy and Hold”

DOI10.1524/stnd.2008.1025zbMath1274.62538OpenAlexW2076700609MaRDI QIDQ5191262

Albert N. Shiryaev, Alexander Novikov

Publication date: 29 July 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2008.1025

zbMATH Keywords

Brownian motionBlack-Scholes modelquickest detectionbuy and hold

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (6)

Optimal Closing of a Momentum Trade ⋮ Momentum liquidation under partial information ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty ⋮ Three-dimensional Brownian motion and the golden ratio rule ⋮ Quickest detection of a hidden target and extremal surfaces

This page was built for publication: On a stochastic version of the trading rule “Buy and Hold”