Mixed-asset portfolio allocation under mean-reverting asset returns

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Philippe Bertrand, Jean-Luc Prigent. Mixed-asset portfolio allocation under mean-reverting asset returns. Annals OR, 281(1-2):65-98, 2019. [doi]

Authors

Charles-Olivier Amédée-Manesme

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Fabrice Barthélémy

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Philippe Bertrand

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Jean-Luc Prigent

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