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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorPorte, Vincent
dc.date.accessioned2010-01-18T10:00:15Z
dc.date.available2010-01-18T10:00:15Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3004
dc.language.isoenen
dc.subjectcyclic anticomonotonicityen
dc.subjectutility maximizationen
dc.subjecttransactionen
dc.subject.ddc332en
dc.subject.classificationjelG14en
dc.subject.classificationjelG11en
dc.titleEfficient Trading Strategies with Transaction Costsen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn 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.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages6en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00176619/en/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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