Large investors boost portfolio performance by moving prices strategically, benefiting from market power.
Large investors can impact market prices, affecting their own portfolio performance. A new model shows how these investors can strategically optimize their portfolios, leading to better returns compared to standard market conditions. Even smaller investors can benefit under certain conditions. By analyzing ETFs, the study demonstrates how trading volume influences price changes. This research provides insights into how investors can improve their performance by considering market power, risk tolerance, and demand elasticity.