Liquidity Provision with Adverse Selection and Inventory Costs.
Martin HerdegenJohannes Muhle-KarbeFlorian StebeggPublished in: Math. Oper. Res. (2023)
Keyphrases
- adverse selection
- inventory costs
- infinite horizon
- lead time
- long run
- moral hazard
- finite horizon
- production planning
- optimal policy
- optimal control
- markov decision processes
- lot size
- dynamic programming
- single item
- production cost
- portfolio optimization
- production rate
- incentive compatible
- total cost
- supply chain
- random variables
- computational complexity
- state space
- principal agent