Optimal market-making with risk aversion (Q4648252)
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scientific article; zbMATH DE number 6103661
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal market-making with risk aversion |
scientific article; zbMATH DE number 6103661 |
Statements
Optimal Market-Making with Risk Aversion (English)
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8 November 2012
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market-making
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inventory control
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risk aversion
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dynamic programming
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optimal policy
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0.8613899350166321
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0.8561320304870605
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0.821786105632782
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0.813748836517334
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0.8114727139472961
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