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Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

Journal of Financial and Quantitative Analysis 2002 37(1), 63

Jessica A. Wachter, Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets, The Journal of Financial and Quantitative Analysis, Vol. 37, No. 1 (Mar., 2002), pp. 63-91

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Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets