Managing inventory with proportional transaction costs

Autor:	Gallien, Florent, Kassibrakis, Serge, Malamud, Semyon
Předmět:	ComputingMilieux_GENERAL returns intermediation stock inventory management market empirical-analysis investment dynamic portfolio choice consumption market making liquidity premia transaction costs
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______185::bff3bfa8712eccfa72da228350b6ad9c https://infoscience.epfl.ch/record/275728 Zobrazit plný text záznamu