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Endogenous Inverse Demand Functions

In this work we present an equilibrium formulation for price impacts. This is motivated by the Bühlmann equilibrium in which assets are sold into a system of market participants, for example, a fire sale in systemic risk, and can be viewed as a generalization of the Esscher premium. Existence and uniqueness of clearing prices for the liquidation of a portfolio are studied. We also investigate other desired portfolio properties including monotonicity and concavity. Price per portfolio unit sold is also calculated. In special cases, we study price impacts generated by market participants who follow the exponential utility and power utility.

Ketersediaan

Informasi Detail

Judul Seri

OPERATIONS RESEARCH; Vol.70 No.5 September-October 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 2702-2714

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

RISK SHARING
FIRE SALE
INVERSE DEMAND FUNCTION
PRICE IMPACTS
EQUILBRIUM LIQUIDATION

Info Detail Spesifik

https://doi.org/10.1287/opre.2022.2325

Pernyataan Tanggungjawab

Maxim Bichuch, Zachary Feinstein

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