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q-fin.MF2022★ 1 cited
Strategic mean-variance investing under mean-reverting stock returns
Søren 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…
q-fin.MF2022★ 1 cited
Analysis of a five-factor capital market model
Søren Fiig Jarner, Michael Preisel
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess ret…