Efficient Trading Strategies with Transaction Costs

Elyès Jouini (1) , Vincent Porte (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CALYON - Calyon

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.

Mots clés: cyclic anticomonotonicity; utility maximization; transaction

Domaines: Economies et finances

Elyès Jouini, Vincent Porte. Efficient Trading Strategies with Transaction Costs. 2007. ⟨halshs-00176619⟩