Mixed-asset portfolio allocation under mean-reverting asset returns

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy (), Philippe Bertrand and Jean-Luc Prigent
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Charles-Olivier Amédée-Manesme: ULaval - Université Laval [Québec]

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Date: 2018
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Published in Annals of Operations Research, inPress, ⟨10.1007/s10479-018-2761-y⟩

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Journal Article: Mixed-asset portfolio allocation under mean-reverting asset returns (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01955220

DOI: 10.1007/s10479-018-2761-y

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