|Researchers:||Giuliano Curatola, Ilya Dergunov, Alessandro Gioffré, Roberto Panzica|
|Category:||Household Finance, Financial Markets|
The project aims to study how non-price taking behavior and strategic interaction affect consumption/ portfolio choice and the properties of financial markets. We model non-price taking agents as price leaders in all markets.The consumption choice of the leader affects the Arrow-Debreu prices. Different from the existing literature, we assume there is more than one leader (so that we have strategic interaction among leaders) and one follower (so that we have strategic interaction between leaders and followers). Our goal is to characterize the implications of strategic interaction/ price impact for equilibrium stock returns, consumption, and portfolio choice.