Managing inventory with proportional transaction costs

Gallien Florent; Kassibrakis Serge; Malamud Semyon

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Managing inventory with proportional transaction costs

机译：按比例的交易成本管理库存

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摘要

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.

机译：我们为面临比例交易成本并按市场定价的CARA做市商解决了最佳库存管理问题。我们的模型适应了任意复合Poisson过程后的库存冲击。我们显示，在存在库存冲击的情况下，无交易区域总是较宽。

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来源
《Mathematics and financial economics》 |2020年第1期|121-138|共18页
作者
Gallien Florent; Kassibrakis Serge; Malamud Semyon;
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作者单位

Swissquote Bank Gland Switzerland;

Swiss Finance Inst Zurich Switzerland|Ecole Polytech Fed Lausanne Ecublens Switzerland|Ctr Econ Policy Res London England;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Inventory management; Market making; Transaction costs;

机译：库存管理;做市;交易成本;

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1. Utility-indifference pricing of European options with proportional transaction costs [J] . Yan Dong, Lu Xiaoping Journal of Computational and Applied Mathematics . 2021,第1期

机译：具有比例交易成本的欧洲选项的实用性漠不关心
2. Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs [J] . Martin Brown, Tomasz Zastawniak Annals of finance . 2020,第3期

机译：固定和比例交易成本下资产定价的基本定理
3. Mean-variance investment strategy with proportional transaction costs and withdrawal process for a defined contribution pension scheme [J] . Charles I. Nkeki International Journal of Operational Research . 2019,第2期

机译：平均差异投资策略，比例交易成本和撤销过程进行界定养老金计划
4. Comparison analysis of vendor managed inventory with consideration of transportation and inventory costs [C] . Yang Xuechun, Wu Qixing, Zhang Xiangnan 2010 International Conference on Logistics Systems and Intelligent Management . 2010

机译：考虑运输和库存成本的供应商管理库存比较分析
5. Lyapunov exponents for stochastic Anderson models with non-Gaussian noise; portfolio optimization in discrete time with proportional transaction costs under stochastic volatility. [D] . Kim, Ha Young. 2010

机译：具有非高斯噪声的随机Anderson模型的Lyapunov指数；随机波动下具有成比例交易成本的离散时间的投资组合优化。
6. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion [O] . Jiao-Jiao Sun, Shengwu Zhou, Yan Zhang, 2014

机译：分数布朗运动下具有固定比例交易成本的回顾期权定价
7. Optimal inventory policy with fixed and proportional transaction costs under a risk constraint [O] . Yiu, KFC, Mak, KL, Wang, SY 2013

机译：在风险约束下具有固定和比例交易成本的最优库存策略

Managing inventory with proportional transaction costs

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