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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2509.25472 |
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| _version_ | 1866908567021289472 |
|---|---|
| author | Dolinsky, Yan |
| author_facet | Dolinsky, Yan |
| contents | In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we compute the optimal portfolio strategy and the corresponding value. Our method of solution relies on duality, and it is purely probabilistic. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_25472 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact Dolinsky, Yan Portfolio Management Probability Mathematical Finance In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we compute the optimal portfolio strategy and the corresponding value. Our method of solution relies on duality, and it is purely probabilistic. |
| title | Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact |
| topic | Portfolio Management Probability Mathematical Finance |
| url | https://arxiv.org/abs/2509.25472 |