Uploaded June 2024 | Updated September 2026, 2 weeks ago

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Watch the latest presentation of the SIAM Activity Group on FME Virtual Talk Series on the portfolio choice for exponential investors when prices are mean-reverting with Miklós Rásony from HUN-REN Alfréd Rényi Institute of Mathematics! Learn more about the SIAM Activity Group on Financial Mathematics and Engineering: siam.org/membership/activity-groups/detail/financial-mathematics-and-engineering.

Explore the fascinating world of portfolio choice in mean-reverting asset classes like commodities and gold, where exponential utility investors navigate high-risk aversion over infinite investment horizons. Witness the revelation of optimal equivalent safe rates, evolving in a superlinear fashion based on mean-reversion strength, and discover a family of simple, explicit strategies asymptotically approaching optimality. Delve into the nuanced impact of drift presence, with the nonzero drift scenario showcasing remarkable outperformance over driftless counterparts, alongside a brief overview of related findings on fractional Brownian motion.

0:00 Introduction
2:00 Webinar
43:59 Q&A

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