We consider a financial market model where a single large investor submits orders to a finite number of market makers. These orders are filled at what we call market indifference prices and they lead to a new efficient allocation of risk among the market makers. We show how this allocation depends on the size of the order, discuss the cash compensation between market makers and the large investor, and explain how convex duality techniques allow for a quantitative analysis of the permanent market impact resulting from a transaction. (This is joint work with Dmitry Kramkov.)