Portfolio valuation under liquidity constraints with permanent price impact

Péter Csóka and Judit Hevér

Finance Research Letters, 2018, vol. 26, issue C, 235-241

Abstract: When institutional investors rearrange their portfolios, they should consider both the temporary and the permanent price impacts. After a temporary price impact the order book fully recovers, whereas a permanent price impact changes the equilibrium price, having effects on the resulting portfolio.

Keywords: Portfolio valuation; Liquidity risk; Permanent price impact; SEC Rule 22e-4 (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Portfolio valuation under liquidity constraints with permanent price impact (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241

DOI: 10.1016/j.frl.2018.02.019

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