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Persistent link: https://www.econbiz.de/10005362784
We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival under an agent-specific, wealth-forward...
Persistent link: https://www.econbiz.de/10008872333