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Response to comment on 'Thou shalt buy and hold'

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  • Albert Shiryaev
  • Zuoquan Xu
  • Xun Yu Zhou

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  • Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou, 2008. "Response to comment on 'Thou shalt buy and hold'," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 761-762.
    • Handle: RePEc:taf:quantf:v:8:y:2008:i:8:p:761-762
    DOI: 10.1080/14697680802642262
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    References listed on IDEAS

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    1. Satya N. Majumdar & Jean-Philippe Bouchaud, 2008. "Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou," Papers 0809.2878, arXiv.org.
    2. Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou, 2008. "Thou shalt buy and hold," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 765-776.
    3. Satya N. Majumdar & Jean-Philippe Bouchaud, 2008. "Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou," Post-Print hal-00370787, HAL.
    4. Satya Majumdar & Jean-Philippe Bouchaud, 2008. "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," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 753-760.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Arcand, Jean-Louis & Hongler, Max-Olivier & Rinaldo, Daniele, 2020. "Increasing risk: Dynamic mean-preserving spreads," Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 69-82.
    2. Ameur, Hachmi Ben & Han, Xuyuan & Liu, Zhenya & Peillex, Jonathan, 2022. "When did global warming start? A new baseline for carbon budgeting," Economic Modelling, Elsevier, vol. 116(C).
    3. Zhenya Liu & Yuhao Mu, 2022. "Optimal Stopping Methods for Investment Decisions: A Literature Review," IJFS, MDPI, vol. 10(4), pages 1-23, October.
    4. Min Dai & Zhou Yang & Qing Zhang & Qiji Jim Zhu, 2016. "Optimal Trend Following Trading Rules," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 626-642, May.
    5. Dmitry B. Rokhlin, 2016. "Minimax perfect stopping rules for selling an asset near its ultimate maximum," Papers 1601.00175, arXiv.org, revised Jul 2016.
    6. Sabri Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Risk management for crude oil futures: an optimal stopping-timing approach," Annals of Operations Research, Springer, vol. 313(1), pages 9-27, June.
    7. Jordan Mann & J. Nathan Kutz, 2016. "Dynamic mode decomposition for financial trading strategies," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1643-1655, November.
    8. Christoph Kuhn & Budhi Arta Surya & Bjorn Ulbricht, 2014. "Optimal Selling Time of a Stock under Capital Gains Taxes," Papers 1501.00026, arXiv.org.
    9. Yue Liu & Aijun Yang & Jijian Zhang & Jingjing Yao, 2020. "An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 827-843, March.
    10. Tim Leung & Xin Li & Zheng Wang, 2014. "Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs," Papers 1411.6080, arXiv.org.
    11. Souradeep Chakraborty, 2019. "Capturing Financial markets to apply Deep Reinforcement Learning," Papers 1907.04373, arXiv.org, revised Dec 2019.
    12. Zuo Quan Xu & Fahuai Yi, 2020. "Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 384-401, February.
    13. Xun Li & Xianping Wu & Wenxin Zhou, 2017. "Optimal stopping investment in a logarithmic utility-based portfolio selection problem," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-10, December.
    14. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Testing Calendar Effects of International Equity and Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 140-158, January.
    15. Nader Karimi & Hirbod Assa & Erfan Salavati & Hojatollah Adibi, 2023. "Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1437-1455, December.
    16. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "Some applications of first-passage ideas to finance," Papers 1306.3110, arXiv.org.
    17. Zuo Quan Xu & Fahuai Yi, 2019. "Optimal redeeming strategy of stock loans under drift uncertainty," Papers 1901.06680, arXiv.org.
    18. Xiongfei Jian & Xun Li & Fahuai Yi, 2014. "Optimal Investment with Stopping in Finite Horizon," Papers 1406.6940, arXiv.org.
    19. Tim Leung & Xin Li & Zheng Wang, 2015. "Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs," Papers 1504.04682, arXiv.org.
    20. Yue Liu & Nicolas Privault, 2017. "Selling At The Ultimate Maximum In A Regime-Switching Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-27, May.
    21. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2019. "Alternative trading strategies to beat “buy-and-hold”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    22. Satya Majumdar & Jean-Philippe Bouchaud, 2008. "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," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 753-760.
    23. Molei Qin & Shuo Sun & Wentao Zhang & Haochong Xia & Xinrun Wang & Bo An, 2023. "EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading," Papers 2309.12891, arXiv.org.

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    1. Nader Karimi & Hirbod Assa & Erfan Salavati & Hojatollah Adibi, 2023. "Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1437-1455, December.
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    14. Sabri Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Risk management for crude oil futures: an optimal stopping-timing approach," Annals of Operations Research, Springer, vol. 313(1), pages 9-27, June.
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    19. Jordan Mann & J. Nathan Kutz, 2016. "Dynamic mode decomposition for financial trading strategies," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1643-1655, November.
    20. Zuo Quan Xu & Fahuai Yi, 2019. "Optimal redeeming strategy of stock loans under drift uncertainty," Papers 1901.06680, arXiv.org.

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