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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The Theory And Practice Of Investment Management

ISBN: 9780470929902

2nd Edition

Authors: Frank J Fabozzi, Harry M Markowitz

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Question Posted: Dec 19, 2023 01:35 AM

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a. What are the main assumptions of mean reversion? b. When would you model asset prices using

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a Mean reversion is a financial theory that suggests that asset prices and financial metrics tend to fluctuate around their longterm average or mean a...View the full answer

The Theory And Practice Of Investment Management

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