Managing inventory with proportional transaction costs
2020
Abstract
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.
Details
Title
Managing inventory with proportional transaction costs
Author(s)
Gallien, Florent ; Kassibrakis, Serge ; Malamud, Semyon
Published in
Mathematics And Financial Economics
Volume
14
Issue
1
Pages
121-138
Date
2020-01-01
Publisher
Heidelberg, SPRINGER HEIDELBERG
ISSN
1862-9679
1862-9660
1862-9660
Keywords
Other identifier(s)
View record in Web of Science
Laboratories
SFI-SM
Record Appears in
Scientific production and competences > CDM - College of Management of Technology > SFI - Swiss Finance Institute at EPFL > SFI-SM - Chair of Associate Prof. Malamud
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Record creation date
2020-03-03