Managing inventory with proportional transaction costs (Q2299389)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Managing inventory with proportional transaction costs |
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Managing inventory with proportional transaction costs (English)
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21 February 2020
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The authors solve the problem of optimal inventory management for a constant-absolute-risk-aversion market-maker, who faces proportional transaction costs and marking to market. Their model accommodates inventory shocks following an arbitrary compound Poisson process, and they show that the no-trading region is always wider in the presence of inventory shocks.
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inventory management
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market making
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transaction costs
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