  In this work we present an equilibrium formulation for price impacts. This is
motivated by the Buhlmann equilibrium in which assets are sold into a system of
market participants and can be viewed as a generalization of the Esscher
premium. Existence and uniqueness of clearing prices for the liquidation of a
portfolio are studied. We also investigate other desired portfolio properties
including monotonicity and concavity. Price per portfolio unit sold is also
calculated. In special cases, we study price impacts generated by market
participants who follow the exponential utility and power utility.
