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On the strategic behavior of large investors: A mean-variance portfolio approach

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  • Villena, Marcelo J.
  • Reus, Lorenzo

Abstract

One key assumption of Markowitz’s model is that all traders act as price takers. In this paper, we extend this mean-variance approach in a setting where large investors can move prices. Instead of having an individual optimization problem, we find the investors’ Nash equilibrium and redefine the efficient frontier in this new framework.

Suggested Citation

  • Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
    • Handle: RePEc:eee:ejores:v:254:y:2016:i:2:p:679-688
    DOI: 10.1016/j.ejor.2016.04.026
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    References listed on IDEAS

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