A model for a large investor trading at market indifference prices. I: single-period case

Details A model for a large investor trading at market indifference prices. I: single-period case A model for a large investor trading at market indifference prices. I: single-period case

2011-10-14

arxiv.org/abs/1110.3224v2

Economy

Quantitative Finance

Trading and Market Microstructure

69 pages. Keywords: Arrow-Debreu equilibrium, Bertrand competition, demand pressure, envelope theorem, equilibrium, utility in

Scientific paper

We develop a single-period model for a large economic agent who trades with
market makers at their utility indifference prices. A key role is played by a
pair of conjugate saddle functions associated with the description of Pareto
optimal allocations in terms of the utility function of a representative market
maker.

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