Publication
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.
François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos
Boi Faltings, Aris Filos Ratsikas, Panayiotis Danassis