PreprintCC BY 4.0arXiv
Exponential investors with weakly mean-reverting prices
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(T2β+1) where 0<β<1 is the strength of mean reversion. An explicit asymptotically optimal strategy is also given.
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BibTeX
@misc{hoffmann2026exponential,
title = {{Exponential investors with weakly mean-reverting prices}},
author = {Balazs Hoffmann and Miklos Rasonyi},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.08631},
eprint = {2610.08631},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.08631},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Exponential investors with weakly mean-reverting prices
AU - Balazs Hoffmann
AU - Miklos Rasonyi
PY - 2026
DA - 2026/10/06
PB - arXiv
DO - 10.48550/arxiv.2610.08631
UR - https://arxiv.org/abs/2610.08631
AB - 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.
ER -