Show simple item record

dc.contributor.authorKallal, Hedi
dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.date.accessioned2010-09-10T08:54:36Z
dc.date.available2010-09-10T08:54:36Z
dc.date.issued2001
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4721
dc.language.isoenen
dc.subjectTrading strategyen
dc.subjectMarket frictionsen
dc.subject.ddc332en
dc.subject.classificationjelG1en
dc.titleEfficient Trading Strategies in the Presence of Market Frictionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe provide a price characterization of efficient contingent claims - that is, chosen by at least a rational agent - in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency cost of a trading strategy - its required investment minus the largest amount necessary to obtain the same utility level - and we propose a measure of portfolio performance. We show that arbitrage bounds cannot be tightened based on efficiency without restricting preferences or endowments. We observe common investment strategies becoming inefficient with market frictions and others rationalized by them.en
dc.relation.isversionofjnlnameThe Review of Financial Studies
dc.relation.isversionofjnlvol14en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2001
dc.relation.isversionofjnlpages343-369en
dc.relation.isversionofdoihttp://dx.doi.org/10.1093/rfs/14.2.343en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherOxford University Pressen
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record