Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with …. The latter encompass a risk whenever the market impact of traders subject to them is large enough, due to a fire …-sale phenomenon. Our aim is to provide conditions for the transformation of liquidation needs into liquidation risk, and to …

position adjustment and volatility scaling. I conclude that: (1) the long-only portfolios of the price, risk-adjusted price … profitability is robust for large stocks, but not applicable to the whole Australian market. These conclusions are supported by some …