a. What are the main assumptions of mean reversion? b. When would you model asset prices using
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a. What are the main assumptions of mean reversion?
b. When would you model asset prices using mean-reverting walks instead of arithmetic or geometric random walks?
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Related Book For
The Theory And Practice Of Investment Management
ISBN: 9780470929902
2nd Edition
Authors: Frank J Fabozzi, Harry M Markowitz
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