Cvitanic, Jaksa; Malamud, Semyon - In: Journal of Financial Economics 100 (2011) 1, pp. 201-225
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...