Price impact and portfolio impact

被引：22

作者：

Cvitanic, Jaksa ^{[3
]}

Malamud, Semyon ^{[1
,2
]}

机构：

[1] Swiss Finance Inst, Zurich, Switzerland

[2] Ecole Polytech Fed Lausanne, CH-1015 Lausanne, Switzerland

[3] CALTECH, Div Humanities & Social Sci, Pasadena, CA 91125 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2011年 / 100卷 / 01期

基金：

美国国家科学基金会;

关键词：

Survival; Price impact; Equilibrium; Heterogeneous agents; Optimal portfolios; DYNAMIC EQUILIBRIUM; SELECTION; RETURNS; ECONOMY; RATES; MODEL;

D O I：

10.1016/j.jfineco.2010.11.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：201 / 225

页数：25

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