research article
Managing inventory with proportional transaction costs
January 1, 2020
We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-trading region is always wider in the presence of inventory shocks.
Type
research article
Web of Science ID
WOS:000511437100005
Author(s)
Date Issued
2020-01-01
Publisher
Published in
Volume
14
Issue
1
Start page
121
End page
138
Subjects
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Editorial or Peer reviewed
REVIEWED
Written at
EPFL
EPFL units
Available on Infoscience
March 3, 2020
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