Price Impact and Portfolio Impact ∗
نویسندگان
چکیده
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 longrun 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.
منابع مشابه
GJR-Copula-CVaR Model for Portfolio Optimization: Evidence for Emerging Stock Markets
Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of dependence. Finally, the impact of the dep...
متن کاملImpact of the Selected Domestic and Foreign Markets Returns on Stock Price in Iran
One of the features of a financial market, the stock market, in particular, is the market sentiment which is the overall attitude of investors toward a particular security or financial market. Investors always seek to create a portfolio with minimum risk while maintaining the expected return level. Therefore, perceiving the relationship between the stock returns and markets returns can be helpf...
متن کاملHousehold portfolio channel of credit shocks transmission: The Case of Iran
In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected pric...
متن کاملThe Effects of Long Memory in Price Volatility of Inventories Pledged on Portfolio Optimization of Supply Chain Finance
Due to the illiquidity of inventories pledged, the essential of price risk management of supply chain finance is to long-term price risk measure. Long memory in volatility, which attests a slower than exponential decay in the autocorrelation function of standard proxies of volatility, yields an additional improvement in specification of multi-period volatility models and further impact on the t...
متن کاملInvestigating the Impact of Time-varying Volatility of Macroeconomic Indices on the Predictability of Optimal Stock Portfolio Return in Tehran Stock Exchange
In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selection (DMS) and Dynamic Model Averaging (DMA) and a comparison with the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (with data on a monthly basis) are discussed. In the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010