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Exponential investors with weakly mean-reverting prices

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  • Balazs Hoffmann
  • Miklos Rasonyi

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

Suggested Citation

  • Balazs Hoffmann & Miklos Rasonyi, 2026. "Exponential investors with weakly mean-reverting prices," Papers 2610.08631, arXiv.org.
    • Handle: RePEc:arx:papers:2610.08631
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    References listed on IDEAS

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    3. Jaime Casassus & Pierre Collin‐Dufresne, 2005. "Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates," Journal of Finance, American Finance Association, vol. 60(5), pages 2283-2331, October.
    4. Bessembinder, Hendrik, et al, 1995. "Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-375, March.
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