Portfolio Choice for Exponential Investors in Mean-Reverting Markets

Explore portfolio choice strategies for exponential investors in mean-reverting asset classes through this insightful presentation from the SIAM Activity Group on FME Virtual Talk Series. Delve into the complexities of high-risk aversion over infinite investment horizons, examining optimal equivalent safe rates and their superlinear evolution based on mean-reversion strength. Discover a family of simple, explicit strategies that asymptotically approach optimality, and investigate the significant impact of drift presence on performance. Gain valuable insights into related findings on fractional Brownian motion, enhancing your understanding of advanced financial mathematics and engineering concepts.