Efficient Trading Strategies

Jouini, Elyès; Porte, Vincent

Jouini, Elyès; Porte, Vincent (2005), Efficient Trading Strategies. https://basepub.dauphine.fr/handle/123456789/3003

Type

Document de travail / Working paper

Lien vers un document non conservé dans cette base

http://halshs.archives-ouvertes.fr/halshs-00176616/en/

Date

2005

Éditeur

Université Paris-Dauphine

Ville d’édition

Paris

Métadonnées

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Auteur(s)

Jouini, Elyès
Porte, Vincent

Résumé (EN)

In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary and sufficient conditions for a contingent claim to be efficient in markets, which might be with frictions in a quite general framework. We then compute a measure of inefficiency size for any contingent claim. We finally give several applications of these results, studying in particular the efficiency of superreplication strategies.

Mots-clés

anticomonotonicity; utility maximization; markets with frictions

JEL

G14 - Information and Market Efficiency; Event Studies; Insider Trading
G11 - Portfolio Choice; Investment Decisions