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On the strategic behavior of large investors: A mean-variance portfolio approach

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  • Villena, Marcelo J.
  • Reus, Lorenzo

Abstract

One key assumption of Markowitz’s model is that all traders act as price takers. In this paper, we extend this mean-variance approach in a setting where large investors can move prices. Instead of having an individual optimization problem, we find the investors’ Nash equilibrium and redefine the efficient frontier in this new framework.

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  • Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
    • Handle: RePEc:eee:ejores:v:254:y:2016:i:2:p:679-688
    DOI: 10.1016/j.ejor.2016.04.026
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