Efficient Trading Strategies with Transaction Costs

Elyès Jouini () and Vincent Porte
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Vincent Porte: CALYON - Calyon - CALYON

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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.

Keywords: cyclic anticomonotonicity; utility maximization; transaction (search for similar items in EconPapers)
Date: 2007-10-04
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