---
title: A Simple Theory of Portfolio Market Making
url: https://www.ml-quant.com/papers/ssrn/7682027/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-14
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7682027
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7682027
featured: 2026-11-13
citations: unknown
topic: Trading, Microstructure & Execution
---


# A Simple Theory of Portfolio Market Making

The research derives a closed-form lower bound on trading costs that depends only on return and order-flow covariances, showing that Kyle's lambda achieves optimality for multi-asset liquidity provision.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7682027
- Identifier: SSRN 7682027
- Released: 2026-11-09
- First featured: Quant Letter No. 139 (2026-11-13): https://www.ml-quant.com/issues/2026-11-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution
- Authors: Andreas Park, Katya Malinova

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