Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

DOI10.1023/A:1013860504885MaRDI QIDQ4530197zbMATH OpenFDO

Authors

Publication date 30 May 2002

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1013860504885

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Recommendations

• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Momentum and mean reversion in strategic asset allocation
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optimal portfolio policies with borrowing and shortsale constraints
• Portfolio and consumption decisions with the consumption habit constraints

Cited in

(9)

• A new preference model that allows for narrow framing
• A stochastic programming approach for multi-period portfolio optimization
• High-dimensional portfolio optimization with transaction costs
• Momentum and mean reversion in strategic asset allocation
• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• A simple robust asset pricing model under statistical ambiguity
• On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging

This page was built for publication: Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4530197)