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A model for a large investor trading at market indifference prices. I: single-period case

Author

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  • Peter Bank

    (Technische Universit\"at Berlin)

  • Dmitry Kramkov

    (Carnegie Mellon and Oxford)

Abstract

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.

Suggested Citation

  • Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. I: single-period case," Papers 1110.3224, arXiv.org, revised Dec 2013.
    • Handle: RePEc:arx:papers:1110.3224
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    References listed on IDEAS

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    Cited by:

    1. Masaaki Fukasawa, 2014. "Efficient price dynamics in a limit order market: an utility indifference approach," Papers 1410.8224, arXiv.org.
    2. Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. II: Continuous-time case," Papers 1110.3229, arXiv.org, revised Sep 2015.
    3. Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.

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