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

By Yan Dolinsky

Published 2026-07-02

Everscope rating

1815.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Probabilistic Duality Approach. Problem types: Portfolio Optimization, Algorithmic Execution, Optimization.

arXiv:2509.25472 · Paper rankings

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