Publication

Price impact and portfolio impact

Semyon Malamud
2011
Journal Articles

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. (C) 2010 Elsevier B.V. All rights reserved.

Official source

https://infoscience.epfl.ch/entities/publication/c990909a-e18e-4f8d-ac71-834b6cf5541e

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Price impact and portfolio impact

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