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Title: 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.  more » « less
Award ID(s):
1736414
NSF-PAR ID:
10349378
Author(s) / Creator(s):
;
Date Published:
Journal Name:
Operations Research
ISSN:
0030-364X
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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