Price impact and portfolio impact

• 成果类型: Article
• 署名作者: Cvitanic, Jaksa; Malamud, Semyon
• 署名单位: Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; California Institute of Technology
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.11.001
• 发表日期: 2011
• 页码: 201-225
• 关键词: survival; Price impact; equilibrium; heterogeneous agents; Optimal portfolios

摘要

We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and portfolio impact are two independent concepts: a nonsurviving agent with no long-run price impact can have a significant long-run impact on other agents' optimal portfolios. (C) 2010 Elsevier B.V. All rights reserved.