Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
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.
 
 
Efficient trading strategies with transaction costs
JOUINI Elyès, PORTE Vincent
2007-36
12-07-2007
 
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