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
收藏
页码：201 / 225
页数：25
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