Open AccessPortfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
Author(s) -
Jessica A. Wachter
Publication year - 2001
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.291472
Subject(s) - mean reversion , economics , consumption (sociology) , portfolio , econometrics , financial economics , incomplete markets , mathematics , microeconomics , social science , sociology
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