Mean Reversion and Consumption Smoothing: A Comment

Fang Zhou, Liutang Gong and Yaping Wang
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Fang Zhou: School of Economics and Management, Wuhan University
Yaping Wang: Guanghua School of Management, Peking University

Annals of Economics and Finance, 2008, vol. 9, issue 2, 397-399

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.

Keywords: Mean reversion; Portfolio selection (search for similar items in EconPapers)
JEL-codes: O41 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2008:v:9:i:2:p:397-399

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