| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 960209 | Journal of Financial Economics | 2011 | 25 Pages |
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.
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Authors
Jaksa Cvitanić, Semyon Malamud,