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.

中文翻译：

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按比例的交易成本管理库存

我们为面临比例交易成本并按市场定价的CARA做市商解决最佳库存管理问题。我们的模型适应了任意复合Poisson过程后的库存冲击。我们显示，在存在库存冲击的情况下，无交易区域总是较宽。