Endogenous Inverse Demand Functions

• 成果类型: Article; Early Access
• 署名作者: Bichuch, Maxim; Feinstein, Zachary
• 署名单位: Johns Hopkins University; Stevens Institute of Technology
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2022.2325
• 发表日期: 2022
• 关键词: price-mediated contagion; Fire-sales; optimal risk; equilibrium; liquidity; vwap

摘要

In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, for example, a fire sale in systemic risk, and can be viewed as a generalization of the Esscher premium. Existence and uniqueness of clearing prices for the liquidation of a portfolio are studied. We also investigate other desired portfolio properties including monotonicity and concavity. Price per portfolio unit sold is also calculated. In special cases, we study price impacts generated by market participants who follow the exponential utility and power utility.