Price impact and portfolio impact

Jaksa Cvitanic () and Semyon Malamud

Journal of Financial Economics, 2011, vol. 100, issue 1, 201-225

Abstract: 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.

Keywords: Survival; Price; impact; Equilibrium; Heterogeneous; agents; Optimal; portfolios (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (16)

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Working Paper: Price Impact and Portfolio Impact (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:100:y:2011:i:1:p:201-225

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