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
No takes yet. Share an insight, caveat, or question.
Jessica A. Wachter (2002) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: