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Optimal Market-Making with Risk Aversion - MaRDI portal

Optimal Market-Making with Risk Aversion (Q4648252)

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scientific article; zbMATH DE number 6103661
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English
Optimal Market-Making with Risk Aversion
scientific article; zbMATH DE number 6103661

    Statements

    title
    Optimal Market-Making with Risk Aversion (English)
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    author
    Kan Huang
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    David Simchi-Levi
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    Miao Song
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    publication date
    8 November 2012
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    zbMATH Keywords
    market-making
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    inventory control
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    risk aversion
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    dynamic programming
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    optimal policy
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    Identifiers

    Mathematics Subject Classification ID
    90B05
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    90C39
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    91B26
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    90C15
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    zbMATH DE Number
    6103661
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    OpenAlex ID
    W2106382438
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