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...
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| Format: | Journal article |
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Springer Verlag
2015
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