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Mean Reversion and Consumption Smoothing: A Comment

Zhou, Fang; Gong, Liutang; Wang, Yaping - In: Annals of Economics and Finance 9 (2008) 2, pp. 397-399

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.

Persistent link: https://www.econbiz.de/10009207394

Mean reversion and consumption smoothing : a comment

Fang, Zhou; Gong, Liutang; Wang, Yaping - In: Annals of economics and finance 9 (2008) 2, pp. 397-399

Persistent link: https://www.econbiz.de/10003796471

The performance of Chinese equity funds : an extension of DGTW model

Wang, Yaping; Paek, Miyoun; Ko, Kwangsoo - In: Japan and the world economy : international journal of … 51 (2019), pp. 1-8

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Nonlinearly weighted convex risk measure and its application

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Tail nonlinearly transformed risk measure and its application

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Hedging with futures : does anything beat the naïve hedging strategy?

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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

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Interest rates and financial fragility

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Time consistency and time consistent generalized convex multistage risk measures

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Promote or inhibit? : the influence of partner repeatedness in university-industry alliance portfolios on firm innovation performance

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