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Efficient Trading Strategies with Transaction Costs

Author

Listed:
  • Elyès Jouini

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Vincent Porte

    (CALYON - Calyon - CALYON)

Abstract

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.

Suggested Citation

  • Elyès Jouini & Vincent Porte, 2007. "Efficient Trading Strategies with Transaction Costs," Working Papers halshs-00176619, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00176619
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00176619
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