Thou shalt buy and hold
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Publication:3605237
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Cites work
- A Minimum Variance Result in Continuous Trading Portfolio Optimization
- Continuous-time mean-variance efficiency: the 80\% rule
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- European Option Pricing with Transaction Costs
- Optimum consumption and portfolio rules in a continuous-time model
- Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
Cited in
(37)- Optimal redeeming strategy of stock loans under drift uncertainty
- A stochastic control problem and related free boundaries in finance
- Buy-and-hold mean-variance portfolios with a random exit strategy
- Optimal multiple trading times under the exponential OU model with transaction costs
- Response to comment on ‘Thou shalt buy and hold’
- Risk management for crude oil futures: an optimal stopping-timing approach
- Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum
- Selling at the ultimate maximum in a regime-switching model
- Buy-low and sell-high investment strategies
- A computational definition of financial randomness
- Optimal stopping investment with non-smooth utility over an infinite time horizon
- Dynamic mode decomposition for financial trading strategies
- Optimal stopping time of a portfolio selection problem with multi-assets
- Optimal stopping under probability distortion
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- Markets with random lifetimes and private values: mean reversion and option to trade
- Who should sell stocks?
- Optimal stock selling/buying strategy with reference to the ultimate average
- Optimal closing of a momentum trade
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Momentum liquidation under partial information
- Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou
- Optimal stopping for absolute maximum of homogeneous diffusion
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- Optimal investment with stopping in finite horizon
- Increasing risk: dynamic mean-preserving spreads
- Selling a stock at the ultimate maximum
- A general `bang-bang' principle for predicting the maximum of a random walk
- Optimal trend following trading rules
- Optimal selling time in stock market over a finite time horizon
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock
- Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’
- Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
- A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
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