Journal of Financial Economics Vol. 100 No. 1 2011

Price impact and portfolio impact

Jakša Cvitanić¹; Semyon Malamud^2,3

¹ California Institute of Technology · ² Swiss Finance Institute · ³ École Polytechnique Fédérale de Lausanne

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.

DOI

10.1016/j.jfineco.2010.11.001

Volume

100

Issue

1

Pages

201-225

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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