Matches in SemOpenAlex for { <https://semopenalex.org/work/W2904125588> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W2904125588 abstract "This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For exponential market makers preferences, we establish two effects due to price impact: constrained trading, and non-linear hedging costs. To the former, wealth processes in the impact model are identified with those in a model without impact, but with constrained trading, where the (random) constraint set is generically neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the claim. We provide three such notions, which coincide in the frictionless case, but which dramatically differ in the presence of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage inducing prices may arise endogenously in equilibrium, and that equilibrium positions are inversely proportional to the market makers' representative risk aversion. Therefore, large positions endogenously arise in the limit of either market maker risk neutrality, or a large number of market makers." @default.
- W2904125588 created "2018-12-22" @default.
- W2904125588 creator A5013217506 @default.
- W2904125588 creator A5019290358 @default.
- W2904125588 creator A5073501417 @default.
- W2904125588 date "2018-04-24" @default.
- W2904125588 modified "2023-09-27" @default.
- W2904125588 title "Optimal Investment, Demand and Arbitrage under Price Impact" @default.
- W2904125588 hasPublicationYear "2018" @default.
- W2904125588 type Work @default.
- W2904125588 sameAs 2904125588 @default.
- W2904125588 citedByCount "1" @default.
- W2904125588 countsByYear W29041255882020 @default.
- W2904125588 crossrefType "posted-content" @default.
- W2904125588 hasAuthorship W2904125588A5013217506 @default.
- W2904125588 hasAuthorship W2904125588A5019290358 @default.
- W2904125588 hasAuthorship W2904125588A5073501417 @default.
- W2904125588 hasConcept C106159729 @default.
- W2904125588 hasConcept C127413603 @default.
- W2904125588 hasConcept C149782125 @default.
- W2904125588 hasConcept C160623529 @default.
- W2904125588 hasConcept C162324750 @default.
- W2904125588 hasConcept C162889289 @default.
- W2904125588 hasConcept C175444787 @default.
- W2904125588 hasConcept C17744445 @default.
- W2904125588 hasConcept C199539241 @default.
- W2904125588 hasConcept C27548731 @default.
- W2904125588 hasConcept C2776036281 @default.
- W2904125588 hasConcept C34881761 @default.
- W2904125588 hasConcept C556758197 @default.
- W2904125588 hasConcept C78519656 @default.
- W2904125588 hasConcept C79850504 @default.
- W2904125588 hasConcept C94625758 @default.
- W2904125588 hasConceptScore W2904125588C106159729 @default.
- W2904125588 hasConceptScore W2904125588C127413603 @default.
- W2904125588 hasConceptScore W2904125588C149782125 @default.
- W2904125588 hasConceptScore W2904125588C160623529 @default.
- W2904125588 hasConceptScore W2904125588C162324750 @default.
- W2904125588 hasConceptScore W2904125588C162889289 @default.
- W2904125588 hasConceptScore W2904125588C175444787 @default.
- W2904125588 hasConceptScore W2904125588C17744445 @default.
- W2904125588 hasConceptScore W2904125588C199539241 @default.
- W2904125588 hasConceptScore W2904125588C27548731 @default.
- W2904125588 hasConceptScore W2904125588C2776036281 @default.
- W2904125588 hasConceptScore W2904125588C34881761 @default.
- W2904125588 hasConceptScore W2904125588C556758197 @default.
- W2904125588 hasConceptScore W2904125588C78519656 @default.
- W2904125588 hasConceptScore W2904125588C79850504 @default.
- W2904125588 hasConceptScore W2904125588C94625758 @default.
- W2904125588 hasLocation W29041255881 @default.
- W2904125588 hasOpenAccess W2904125588 @default.
- W2904125588 hasPrimaryLocation W29041255881 @default.
- W2904125588 hasRelatedWork W1559213267 @default.
- W2904125588 hasRelatedWork W1599953201 @default.
- W2904125588 hasRelatedWork W1820009882 @default.
- W2904125588 hasRelatedWork W1975931607 @default.
- W2904125588 hasRelatedWork W2034189688 @default.
- W2904125588 hasRelatedWork W2123225183 @default.
- W2904125588 hasRelatedWork W2165457227 @default.
- W2904125588 hasRelatedWork W2198395249 @default.
- W2904125588 hasRelatedWork W2247873240 @default.
- W2904125588 hasRelatedWork W2295705704 @default.
- W2904125588 hasRelatedWork W2333321896 @default.
- W2904125588 hasRelatedWork W2746009358 @default.
- W2904125588 hasRelatedWork W2798426720 @default.
- W2904125588 hasRelatedWork W2951800286 @default.
- W2904125588 hasRelatedWork W2952751518 @default.
- W2904125588 hasRelatedWork W2953358455 @default.
- W2904125588 hasRelatedWork W3123014787 @default.
- W2904125588 hasRelatedWork W3123844818 @default.
- W2904125588 hasRelatedWork W3125776843 @default.
- W2904125588 hasRelatedWork W3212380618 @default.
- W2904125588 isParatext "false" @default.
- W2904125588 isRetracted "false" @default.
- W2904125588 magId "2904125588" @default.
- W2904125588 workType "article" @default.