Efficient Trading Strategies with Transaction Costs
Jouini, Elyès; Porte, Vincent (2007), Efficient Trading Strategies with Transaction Costs. https://basepub.dauphine.fr/handle/123456789/3004
TypeDocument de travail / Working paper
External document linkhttp://halshs.archives-ouvertes.fr/halshs-00176619/en/
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Abstract (EN)In this article, we characterize efficient contingent claims in a context of transaction costs and multidimensional utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity. Moreover, after defining a utility price in this multidimensional setting, we provide a measure of strategies inefficiency and a tool allowing to effectively compute this measure with the help of cyclic anticomonotonicity.
Subjects / Keywordscyclic anticomonotonicity; utility maximization; transaction
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