A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2004; you can also visit the original URL.
The file type is
This paper examines the optimal consumption and investment problem and equilibrium asset pricing in the case of large agents. Because of the investors' significant market power, the prices of financial assets depend on the agents' behavior. The optimal consumption and wealth processes of a single large agent are the same as under small agents and the optimal investment strategy is a nonlinear function of the corresponding small agent's strategy. Because of this nonlinear function, indoi:10.2139/ssrn.296790 fatcat:zp6tq7eoq5hejcxywlijhk4q7u