Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact

Yan Dolinsky

公開日: 2025/9/29

Abstract

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.

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