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On a stochastic version of the trading rule “Buy and Hold”
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Albert Shiryaev
Published/Copyright:
September 25, 2009
Abstract
The paper deals with the problem of finding an optimal one-time rebalancing strategy assuming that in the Black–Scholes model the drift term of the stock may change its value spontaneously at some random non-observable (hidden) time. The problem is studied on a finite time interval under two criteria of optimality (logarithmic and linear). The methods of the paper are based on the results for the quickest detection of drift change for Brownian motion.
Published Online: 2009-09-25
Published in Print: 2009-07
© by Oldenbourg Wissenschaftsverlag, München, Germany
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Keywords for this article
Brownian motion;
BlackScholes model;
quickest detection;
rule Buy and Hold
Articles in the same Issue
- Minimaxity of the Stein risk-minimization estimator for a normal mean matrix
- Estimation of search tree size and approximate counting: A likelihood approach
- Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
- On a stochastic version of the trading rule “Buy and Hold”
- Characterization of optimal risk allocations for convex risk functionals
