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Mean Reversion and Consumption Smoothing: A Comment

Author

Listed:
  • Fang Zhou

    (School of Economics and Management, Wuhan University)

  • Liutang Gong

    (Guanghua School of Management, Peking University)

  • Yaping Wang

    (Guanghua School of Management, Peking University)

Abstract

This comment restudies Black¡¯s (1990) [Black F., 1990. Mean reversion and consumption smoothing. Review of Financial Studies 3,107-114.] paper and shows that the conclusions in Black (1990) are not right.

Suggested Citation

  • Fang Zhou & Liutang Gong & Yaping Wang, 2008. "Mean Reversion and Consumption Smoothing: A Comment," Annals of Economics and Finance, Society for AEF, vol. 9(2), pages 397-399, November.
  • Handle: RePEc:cuf:journl:y:2008:v:9:i:2:p:397-399
    as

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    References listed on IDEAS

    as
    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    2. Black, Fischer, 1990. "Mean Reversion and Consumption Smoothing," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 107-114.
    Full references (including those not matched with items on IDEAS)

    More about this item

    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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