Communications in Information and Systems
Volume 6 (2006)
Whether to sell or hold a stock
Pages: 193 – 202
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.
stock selling times; optimal stopping; buy and hold; variational inequalities