- Abstract:
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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 determined both by the market makers’ joint risk tolerance and by the variation of individual risk tolerances. On a technical level, a key role in our analysis is played by a pair of conjugate saddle func...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted Manuscript
- Files:
-
-
(pdf, 274.8KB)
-
- Publisher copy:
- 10.1007/s00780-015-0258-y
-
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- Publisher:
- Springer Verlag Publisher's website
- Journal:
- Finance and Stochastics Journal website
- Volume:
- 19
- Issue:
- 2
- Pages:
- 449-472
- Publication date:
- 2015-04-15
- DOI:
- EISSN:
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1432-1122
- ISSN:
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0949-2984
- Pubs id:
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pubs:192877
- URN:
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uri:d72e49b5-f3e3-4bd6-91a6-fb2fd2dc74b6
- UUID:
-
uuid:d72e49b5-f3e3-4bd6-91a6-fb2fd2dc74b6
- Local pid:
- pubs:192877
- Keywords:
- Copyright holder:
- Springer-Verlag
- Copyright date:
- 2015
- Notes:
- © Springer-Verlag Berlin Heidelberg 2015. This is the accepted manuscript version of the article. The final version is available online from Springer-Verlag at: 10.1007/s00780-015-0258-y
Journal article
A model for a large investor trading at market indifference prices. I: Single-period case
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