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5784金融与交易中等数值题medium

Where The Inventory Limit Binds

题目

A maker keeps adding to a long position only while the per-lot edge it still captures, 0.30, exceeds the marginal inventory risk it takes on, modeled as gamma*sigma^2*q with gamma = 0.02 and sigma^2 = 0.25. Beyond what position size q does the marginal inventory risk exceed the edge, defining the maker's effective long-side inventory limit?

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