Exponential investors with weakly mean-reverting prices

Balazs Hoffmann and Miklos Rasonyi

Papers from arXiv.org

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 $O(T^{2\beta+1})$ where $0

Date: 2026-10
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