Journal article icon

Journal article

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

Abstract:

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

Actions


Access Document


Files:
Publisher copy:
10.1007/s00780-015-0258-y

Authors


More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Publisher:
Springer Verlag Publisher's website
Journal:
Finance and Stochastics Journal website
Volume:
19
Issue:
2
Pages:
449-472
Publication date:
2015-04-01
Acceptance date:
2014-10-10
DOI:
EISSN:
1432-1122
ISSN:
0949-2984
Source identifiers:
192877
Keywords:
Pubs id:
pubs:192877
UUID:
uuid:d72e49b5-f3e3-4bd6-91a6-fb2fd2dc74b6
Local pid:
pubs:192877
Deposit date:
2017-01-20

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP