Abstract
For a simple model of a stock, whose stock price is a geometric Brownian motion in which the drift rate changes back and forth between positive and negative values, optimal selling times are computed. An infinite optimal selling time meaning you should just hold the stock.
Citation
Raymond Rishel. "Whether to sell or hold a stock." Commun. Inf. Syst. 6 (3) 193 - 202, 2006.
Information
Published: 2006
First available in Project Euclid: 6 July 2007
zbMATH: 1132.93351
MathSciNet: MR2347285
Keywords:
buy and hold
,
Optimal stopping
,
stock selling times
,
variational inequalities
Rights: Copyright © 2006 International Press of Boston
