Publication

Managing inventory with proportional transaction costs

Semyon Malamud
2020
Journal Articles

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.

Official source

Graph Chat

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

Managing inventory with proportional transaction costs

Chat with Graph Search

Decarbonizing the fertilizers sector: an alternative pathway for urea and nitric acid production

Optimizing Sales Forecasting, Inventory, Pricing and Sourcing Decisions

AI-driven Prices for Externalities and Sustainability in Production Markets