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Whether to sell or hold a stock. (English) Zbl 1132.93351

Summary: 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.

MSC:

93E20 Optimal stochastic control
60G40 Stopping times; optimal stopping problems; gambling theory
91G80 Financial applications of other theories
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