2 papers
q-fin.PM2026
Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
Yan Dolinsky
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 as…
q-fin.MF2025
Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework
Yan Dolinsky
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads…