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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Thou Shalt Buy and Hold

　

　

　

Speaker

:

Prof. Xunyu Zhou

　

　

University of Oxford and

　

　

The Chinese University of Hong Kong

　

　

　

Date

:

November 2nd, 2007 (Friday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

An investor holding a stock needs to decide when to sell the stock. It is tempting to think that he should sell at the maximum price over a given investment horizon -- which is what investors always dream of. Unfortunately this is a "mission impossible". A close yet realistic goal is to sell the stock at the time when the expected relative error between the sold price and the maximum price is minimized. This problem is thoroughly investigated for a geometric Brownian motion model, and it is shown that when the stock is good enough -- which we specify explicitly --the optimal strategy is to sell at the end of the horizon. Moreover, the resulting expected relative error never exceeds 25% - a universal number that is independent of the investment opportunities. This result justifies the conventional wisdom that one should buy and hold a stock -- if it is good, that is.


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Biography:
　

Xunyu Zhou obtained his PhD from Fudan University in 1989. He joined CUHK in 1993 as lecturer and became chair professor in 2006. His research areas include financial engineering, stochastic control and stochastic analysis. He is a Fellow of IEEE, a receipient of the SIAM Outstanding Paper Prize and a winner of the Croucher Senior Research Fellowship. He is or was on the editorial boards of Operations Research, Mathematical Finance, and IEEE Transactions on Automatic Control. He is currently Nomura Professor of Mathematical Finance at Oxford, as well as Professorial Fellow at St Hugh's College.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Sean X. Zhou

Tel

:

(852) 2609-8336

Email

:

zhoux@se.cuhk.edu.hk    

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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