On the strategic behavior of large investors: A mean-variance portfolio approach
Marcelo Villena and
European Journal of Operational Research, 2016, vol. 254, issue 2, 679-688
One key assumption of Markowitz’s model is that all traders act as price takers. In this paper, we extend this mean-variance approach in a setting where large investors can move prices. Instead of having an individual optimization problem, we find the investors’ Nash equilibrium and redefine the efficient frontier in this new framework.
Keywords: Investment analysis; Large investors; Strategic behavior; Markowitz portfolio allocation; Nash equilibrium (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:254:y:2016:i:2:p:679-688
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