Endogenous Inverse Demand Functions
نویسندگان
چکیده
Endogenous Inverse Demand Functions Buying or selling assets in a financial market impacts the prices upward downward. Quantifying these price is fundamental to many problems within finance (e.g., optimal liquidation and systemic risk). In “Endogenous Functions,” Bichuch Feinstein construct an equilibrium risk sharing problem that results endogenous inverse demand function. This taken contrast often assumed exogenous linear exponential forms for functions. The authors determine sufficient joint properties replicate common forms. of general functions, found via problem, are investigated; deduce cross-impacts, which be zero, naturally arise this setting.
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ژورنال
عنوان ژورنال: Operations Research
سال: 2022
ISSN: ['1526-5463', '0030-364X']
DOI: https://doi.org/10.1287/opre.2022.2325