The impact of portfolio diversification on mean reverting components of stock indices

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Publication:1000393

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DOI10.1007/BF00868007zbMath1153.91805OpenAlexW2070724841MaRDI QIDQ1000393

Gordon Y. N. Tang

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00868007

zbMATH Keywords

mean reversion diversification investment horizon

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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