Price Impact and Portfolio Impact

We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward measure.[...]

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Year of publication:	2010-06-01
Authors:	Cvitanić, Jakša ; Malamud, Semyon
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Preisbildung \| pricing \| Portfoliomanagement \| portfolio management \| Heterogenität

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Extent:	587776 bytes 78 p. application/pdf
Series:	FINRISK Working Paper Series Wworking Paper ; No. 610
Type of publication:	Book / Working Paper
Language:	English
Classification:	D53 - Financial Markets ; G11 - Portfolio Choice ; G12 - Asset Pricing ; Corporate finance and investment policy. General ; Terms and pricing policy ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009305110