TY - JOUR
T1 - Endogenous Inverse Demand Functions
AU - Bichuch, Maxim
AU - Feinstein, Zachary
N1 - Publisher Copyright:
Copyright: © 2022 INFORMS.
PY - 2022/9/1
Y1 - 2022/9/1
N2 - 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.
AB - 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.
KW - equilibrium liquidation
KW - fire sale
KW - inverse demand function
KW - price impacts
KW - risk sharing
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U2 - 10.1287/opre.2022.2325
DO - 10.1287/opre.2022.2325
M3 - Article
AN - SCOPUS:85146144724
SN - 0030-364X
VL - 70
SP - 2702
EP - 2714
JO - Oper Res
JF - Oper Res
IS - 5
ER -