Thou shalt buy and hold
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Publication:3605237
DOI10.1080/14697680802563732zbMATH Open1154.91478OpenAlexW2141023873MaRDI QIDQ3605237FDOQ3605237
Authors: Albert N. Shiryaev, Zuo Quan Xu, Xun Yu Zhou 
Publication date: 23 February 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802563732
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
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- A Minimum Variance Result in Continuous Trading Portfolio Optimization
- European Option Pricing with Transaction Costs
- Continuous-time mean-variance efficiency: the 80\% rule
Cited In (36)
- Optimal stopping for absolute maximum of homogeneous diffusion
- A stochastic control problem and related free boundaries in finance
- Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
- OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Optimal selling time in stock market over a finite time horizon
- A computational definition of financial randomness
- Optimal stopping investment with non-smooth utility over an infinite time horizon
- Optimal Closing of a Momentum Trade
- Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
- SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL
- OPTIMAL SELLING RULES FOR MONETARY INVARIANT CRITERIA: TRACKING THE MAXIMUM OF A PORTFOLIO WITH NEGATIVE DRIFT
- Markets with random lifetimes and private values: mean reversion and option to trade
- 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 investment with stopping in finite horizon
- How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
- A general `bang-bang' principle for predicting the maximum of a random walk
- Buy-low and sell-high investment strategies
- A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time
- Optimal stopping time of a portfolio selection problem with multi-assets
- 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
- Time-randomized stopping problems for a family of utility functions
- Selling a stock at the ultimate maximum
- Optimal trend following trading rules
- Optimal stopping under probability distortion
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’
- Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum
- Dynamic mode decomposition for financial trading strategies
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- Increasing risk: dynamic mean-preserving spreads
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock
- Buy-and-hold mean-variance portfolios with a random exit strategy
- Response to comment on ‘Thou shalt buy and hold’
- Momentum liquidation under partial information
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