Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

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Citation Campbell, John Y., João Cocco, Francisco Gomes, Pascal J. Maenhout, and Luis M. Viceira. 2001. Stock market mean reversion and the optimal equity allocation of a long-lived investor. European Finance Review 5(3): 269-292.

Published Version http://dx.doi.org/10.1023/A:1013860504885

Citable link http://nrs.harvard.edu/urn-3:HUL.InstRepos:3353758

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Harvard Institute of Economic Research

Discussion Paper Number 1899 Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

By John Y. Campbell, Joao Cocco, Francisco Gomes, Pascal Maenhout, and Luis Viceira

June 2000 Harvard University Cambridge, Massachusetts

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