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Efficient Trading Strategies

Jouini, Elyès; Porte, Vincent (2005), Efficient Trading Strategies. https://basepub.dauphine.fr/handle/123456789/3003

Type
Document de travail / Working paper
External document link
http://halshs.archives-ouvertes.fr/halshs-00176616/en/
Date
2005
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
29
Metadata
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Author(s)
Jouini, Elyès
Porte, Vincent
Abstract (EN)
In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary and sufficient conditions for a contingent claim to be efficient in markets, which might be with frictions in a quite general framework. We then compute a measure of inefficiency size for any contingent claim. We finally give several applications of these results, studying in particular the efficiency of superreplication strategies.
Subjects / Keywords
anticomonotonicity; utility maximization; markets with frictions
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions

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