Mean Reversion and Consumption Smoothing: A Comment
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References listed on IDEAS
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- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Black, Fischer, 1990. "Mean Reversion and Consumption Smoothing," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 107-114.
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Keywords
Mean reversion; Portfolio selection;JEL classification:
- O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
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