Optimal Market-Making with Risk Aversion

DOI10.1287/opre.1120.1039zbMath1260.90014OpenAlexW2106382438MaRDI QIDQ4648252

David Simchi-Levi, Miao Song, Kan Huang

Publication date: 8 November 2012

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1120.1039

zbMATH Keywords

dynamic programminginventory controlrisk aversionoptimal policymarket-making

Mathematics Subject Classification ID

Stochastic programming (90C15) Inventory, storage, reservoirs (90B05) Dynamic programming (90C39) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers ⋮ Optimizing a single-product production-inventory system under constant absolute risk aversion

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