Mean Reversion and Consumption Smoothing: A Comment

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.

MoreLess

Year of publication:	2008
Authors:	Zhou, Fang ; Gong, Liutang ; Wang, Yaping
Published in:	Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 9.2008, 2, 10, p. 397-399
Publisher:	China Economics and Management Academy
Subject:	Mean reversion \| Portfolio selection

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	O41 - One, Two, and Multisector Growth Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009207394