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Nash equilibrium for risk-averse investors in a market impact game with transient price impact


  • Xiangge Luo
  • Alexander Schied


We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a mean-variance functional of their costs or to maximize the expected exponential utility of their revenues. We give explicit representations for corresponding Nash equilibria and prove uniqueness in the case of mean-variance optimization. A qualitative analysis of these Nash equilibria is conducted by means of numerical analysis.

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  • Xiangge Luo & Alexander Schied, 2018. "Nash equilibrium for risk-averse investors in a market impact game with transient price impact," Papers 1807.03813,, revised Jun 2019.
  • Handle: RePEc:arx:papers:1807.03813

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    References listed on IDEAS

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    7. Alfonsi Aurélien & Alexander Schied & Alla Slynko, 2012. "Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem," Post-Print hal-00941333, HAL.
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