Communications in Information and Systems

Volume 6 (2006)

Number 3

Whether to sell or hold a stock

Pages: 193 – 202

DOI: http://dx.doi.org/10.4310/CIS.2006.v6.n3.a3

Author

Raymond Rishel

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.

Keywords

stock selling times; optimal stopping; buy and hold; variational inequalities

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