Efficient Trading Strategies with Transaction Costs
Résumé
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.
Domaines
Economies et finances
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51-efficient_strategies_with_transaction_costs_3.pdf (130.61 Ko)
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