Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact

Yan Dolinsky

Papers from arXiv.org

Abstract: In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we compute the optimal portfolio strategy and the corresponding value. Our method of solution relies on duality, and it is purely probabilistic.

Date: 2025-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2509.25472 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2509.25472

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().