Price Impact and Portfolio Impact

Jaksa Cvitanic () and Semyon Malamud

No 10-26, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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 longrun 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)
JEL-codes: D53 G11 G12 (search for similar items in EconPapers)
Pages: 80 pages
Date: 2010-06
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Journal Article: Price impact and portfolio impact (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1026

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