Preprint
Oct 2026
Exponential investors with weakly mean-reverting prices
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\be...
Balazs Hoffmann, M. Rásonyi
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