Optimal Market-Making with Risk Aversion
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DOI: 10.1287/opre.1120.1039
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References listed on IDEAS
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Cited by:
- Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
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Keywords
market-making; inventory control; risk aversion; dynamic programming; optimal policy;Statistics
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