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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorPorte, Vincent
dc.date.accessioned2010-01-18T09:59:03Z
dc.date.available2010-01-18T09:59:03Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3003
dc.language.isoenen
dc.subjectanticomonotonicityen
dc.subjectutility maximizationen
dc.subjectmarkets with frictionsen
dc.subject.ddc332en
dc.subject.classificationjelG14en
dc.subject.classificationjelG11en
dc.titleEfficient Trading Strategiesen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn 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.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages29en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00176616/en/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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