• Corpus ID: 245986529

Strategic mean-variance investing under mean-reverting stock returns

  title={Strategic mean-variance investing under mean-reverting stock returns},
  author={S{\o}ren Fiig Jarner},
In this report we derive the strategic (deterministic) allocation to bonds and stocks resulting in the optimal mean-variance trade-off on a given investment horizon. The underlying capital market features a mean-reverting process for equity returns, and the primary question of interest is how mean-reversion effects the optimal strategy and the resulting portfolio value at the horizon. In particular, we are interested in knowing under which assumptions and on which horizons, the risk-reward… 



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  • R. C. Merton
  • Computer Science
    Journal of Financial and Quantitative Analysis
  • 1972
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