Market Selection
agents do not survive and do not affect prices in the long run. If relative risk aversion is unbounded, however, they may survive, and survival is neither necessary nor sufficient for their impact on prices. We provide necessary and sufficient conditions for price impact, as well as examples of price impact without survival and vice versa. Our results extend to economies with state-dependent utility functions such as habit formation.
Year of publication: |
2009
|
---|---|
Authors: | Ross, Stephen ; Westerfield, Mark ; Wang, Jiang ; Kogan, Leonid |
Institutions: | Society for Economic Dynamics - SED |
Saved in:
freely available
Saved in favorites
Similar items by person
-
The price impact and survival of irrational traders
Kogan, Leonid, (2004)
-
The price impact and survival of irrational traders
Kogan, Leonid, (2003)
-
The Price Impact and Survival of Irrational Traders
Kogan, Leonid, (2003)
- More ...