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Strategic mean-variance investing under mean-reverting stock returns. (2022). Jarner, Soren Fiig.
In: Papers.
RePEc:arx:papers:2201.05375.

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  1. Long-Term Mean-Variance Optimization Under Mean-Reverting Equity Returns. (2023). Preisel, Michael.
    In: Papers.
    RePEc:arx:papers:2309.07488.

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References

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  9. S. F. Jarner and M. Preisel. Analysis of a five-factor capital market model. Preprint available at arXiv:2201.05103, pages 1–34, 2017.
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