A model for a large investor trading at market indifference prices. I: Single-period case

A model for a large investor trading at market indifference prices. I: Single-period case

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. We compute the sensitivities of these market indifference prices with respect to the size of the investor’s order. It turns out that the price impact of an order is determi...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Bank, P, Kramkov, D
Fformat:	Journal article
Cyhoeddwyd:	Springer Verlag 2015

Eitemau Tebyg

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