• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - No thumbnail

Efficient portfolios in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent (2013), Efficient portfolios in financial markets with proportional transaction costs, Mathematics and Financial Economics, 7, 3, p. 281-304. http://dx.doi.org/10.1007/s11579-013-0099-4

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00635183/fr/
Date
2013
Journal name
Mathematics and Financial Economics
Volume
7
Number
3
Publisher
Springer
Pages
281-304
Publication identifier
http://dx.doi.org/10.1007/s11579-013-0099-4
Metadata
Show full item record
Author(s)
Campi, Luciano
Jouini, Elyès
Porte, Vincent
Abstract (EN)
In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences of the agents are modeled by multivariate expected utility functions. Thanks to the dual formulation of expected multivariate utility maximization problem established in Campi and Owen \cite{CO}, we provide a complete characterization of efficient portfolios, generalizing earlier results of Dybvig \cite{Dyb2} and Jouini and Kallal \cite{JK1}. We basically show that a portfolio is efficient if and only if it is cyclically anticomonotonic with respect to at least one consistent price system. Finally, we introduce the notion of utility price of a given contingent claim as the minimal amount of a given initial portfolio allowing any agent to reach the claim by trading in the market, and give a dual representation of it.
Subjects / Keywords
Cyclic anticomonotonicity; utility maximization; proportional transaction costs; duality; utility price
JEL
G11 - Portfolio Choice; Investment Decisions
G14 - Information and Market Efficiency; Event Studies; Insider Trading

Related items

Showing items related by title and author.

  • Thumbnail
    Efficient trading strategies in financial markets with proportional transaction costs 
    Campi, Luciano; Jouini, Elyès; Porte, Vincent (2011) Document de travail / Working paper
  • Thumbnail
    Efficient Trading Strategies with Transaction Costs 
    Jouini, Elyès; Porte, Vincent (2007) Document de travail / Working paper
  • Thumbnail
    Utility Maximisation with Proportional Transaction Costs 
    Campi, Luciano (2009) Communication / Conférence
  • Thumbnail
    Multivariate utility maximization with proportional transaction costs and random endowment 
    Benedetti, Giuseppe; Campi, Luciano (2012) Article accepté pour publication ou publié
  • Thumbnail
    Multivariate Utility Maximization with Proportional Transaction Costs 
    Owen, Mark; Campi, Luciano (2011) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo