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Author

M. Rásonyi

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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 · 0 citations
Preprint Aug 2026

A note on markets with semi-static trading strategies

We consider a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also (possibly infinitely many) static options to choose from. We introduce the concept of small cones of random variables and present a sufficient condition for the attainable positions in the ma...

M. Rásonyi · 0 citations

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