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Mixed-asset portfolio allocation under mean-reverting asset returns

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https://hal.archives-ouvertes.fr/hal-01955220
Contributor : Philippe Bertrand <>
Submitted on : Friday, December 14, 2018 - 11:14:19 AM
Last modification on : Wednesday, December 2, 2020 - 3:42:39 AM

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Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Philippe Bertrand, Jean-Luc Prigent. Mixed-asset portfolio allocation under mean-reverting asset returns. Annals of Operations Research, Springer Verlag, In press, ⟨10.1007/s10479-018-2761-y⟩. ⟨hal-01955220⟩

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