We prove global existence of a continuous-time Nash equilibrium with endogenous persistent and exogenous temporary price impact. Relative to the analogous Radner and Pareto-efficient equilibria, the Nash equilibrium has a lower interest rate but has similar Sharpe ratios and stock-return volatility.

中文翻译：

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纳什均衡中的价格影响

我们证明了具有内生持续性和外生暂时性价格影响的连续时间纳什均衡的全局存在性。相对于类似的拉德纳和帕累托有效均衡，纳什均衡的利率较低，但具有相似的夏普比率和股票回报波动性。