Publication

Managing inventory with proportional transaction costs

Semyon Malamud
2020
Journal Articles

Abstract

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.

Official source

https://infoscience.epfl.ch/entities/publication/b7b26e7e-9d6c-4120-8dc0-5eb2ea64926f

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Semyon Malamud
2020
Journal Articles

Abstract

Official source

https://infoscience.epfl.ch/entities/publication/b7b26e7e-9d6c-4120-8dc0-5eb2ea64926f

About this result

Related concepts (12)

Inventory

Inventory (American English) or stock (British English) refers to the goods and materials that a business holds for the ultimate goal of resale, production or utilisation. Inventory management is a discipline primarily about specifying the shape and placement of stocked goods. It is required at different locations within a facility or within many locations of a supply network to precede the regular and planned course of production and stock of materials.

Field inventory management

Field inventory management commonly known as inventory management is the function of understanding the stock mix of a company and the different demands on that stock. The demands are influenced by both external and internal factors and are balanced by the creation of purchase order requests to keep supplies at a reasonable or prescribed level. Inventory management is important for every other business enterprise.

Vendor-managed inventory

Vendor-managed inventory (VMI) is an inventory management practice in which a supplier of goods, usually the manufacturer, is responsible for optimizing the inventory held by a distributor. Under VMI, the retailer shares their inventory data with a vendor (sometimes called supplier) such that the vendor is the decision-maker who determines the order size, whereas in traditional inventory management, the retailer (sometimes called distributor or buyer) makes his or her own decisions regarding the order size.

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