Year: 2026
Type: preprint
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.
Source: arXiv (Cornell University)
Authors: Hoffmann, Balazs, Rasonyi, Miklos
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Award: G716724928
OpenAlex ID: W7220933944