  How should one construct a portfolio from multiple mean-reverting assets?
Should one add an asset to portfolio even if the asset has zero mean reversion?
We consider a position management problem for an agent trading multiple
mean-reverting assets. We solve an optimal control problem for an agent with
power utility, and present a semi-explicit solution. The nearly explicit nature
of the solution allows us to study the effects of parameter mis-specification,
and derive a number of properties of the optimal solution.
