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

Shiryaev Albert and Novikov Alexander A.
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Novikov Alexander A.: University of Technology Sydney, Department of Mathematical Sciences, NSW 2007, Australien

Statistics & Risk Modeling, 2009, vol. 26, issue 4, 289-302

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.

Keywords: Brownian motion; BlackScholes model; quickest detection; rule Buy and Hold (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:26:y:2009:i:4:p:289-302:n:5

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DOI: 10.1524/stnd.2008.1025

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