Article2009

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

Albert Nikolaevich Shiryaev · Alexander A. Novikov

22 citations0/0 files storedStatistics & Risk Modeling

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

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.

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References

1963On Optimum Methods in Quickest Detection Problems 2008Thou shalt buy and hold 2006The Wiener disorder problem with finite horizon 2006Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings 2006Technical analysis compared to mathematical models based methods under parameters mis-specification

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2010Quickest detection of a hidden target and extremal surfaces 2014Quickest detection of a hidden target and extremal surfaces 2013Optimal Closing of a Momentum Trade 2011PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION

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