{
  "abstract": "We investigate a continuous-time financial market where the asset price exhibits weak (sublinear) mean reversion and has a nonzero drift. Complementing earlier work on strong (superlinear) mean reversion, we show that, for an investor maximizing expected exponential utility, the certainty equivalent grows as $O(T^{2β+1})$ where $0<β<1$ is the strength of mean reversion. An explicit asymptotically optimal strategy is also given.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.08631",
  "author_total": 2,
  "authors": [
    {
      "name": "Balazs Hoffmann"
    },
    {
      "name": "Miklos Rasonyi"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/dekq1a0gcwb78.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.08631",
  "fulltext_url": null,
  "id": "dekq1a0gcwb78",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.08631",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.PR"
    ],
    [
      "arxiv",
      "q-fin.PM"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7220933944",
  "pdf_url": "https://arxiv.org/pdf/2610.08631",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-06",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/dekq1a0gcwb78.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:27:26Z",
      "native_id": "2610.08631",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.08631"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.PR",
      "subfield": "probability"
    }
  ],
  "title": "Exponential investors with weakly mean-reverting prices",
  "title_text": "Exponential investors with weakly mean-reverting prices",
  "type": "preprint",
  "updated_at": "2026-10-30T12:27:26Z",
  "url": "https://research.draconitic.com/paper/dekq1a0gcwb78",
  "venue": "arXiv",
  "versions": []
}