Arbeitspapier
Portfolio valuation under liquidity constraints with permanent price impact
When institutional investors rearrange their portfolios, they should consider both the temporary and the permanent price impacts. After a temporary price impact the order book fully recovers, whereas a permanent price impact changes the equilibrium price, having effects on the resulting portfolio. In this paper, for a given period, we introduce an optimization problem for valuing illiquid portfolios with permanent price impacts. We show how to find the optimal trade to satisfy certain portfolio constraints. As a policy implication, we note that introducing permanent price impacts in internal or external regulation can substantially change liquidity risk or capital requirements.
- ISBN
-
978-615-5754-34-0
- Sprache
-
Englisch
- Erschienen in
-
Series: IEHAS Discussion Papers ; No. MT-DP - 2017/36
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
Portfolio Valuation
Liquidity Risk
Permanent Price Impact
SEC Rule 22e-4
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Csóka, Péter
Hevér, Judit
- Ereignis
-
Veröffentlichung
- (wer)
-
Hungarian Academy of Sciences, Institute of Economics
- (wo)
-
Budapest
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp
- Arbeitspapier
Beteiligte
- Csóka, Péter
- Hevér, Judit
- Hungarian Academy of Sciences, Institute of Economics
Entstanden
- 2017
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