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Efficient Trading Strategies

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Author Info

  • Elyès Jouini

    ()
    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - CNRS : UMR7534 - Université Paris Dauphine - Paris IX)

  • Vincent Porte

    (CALYON - Calyon - Calyon)

Abstract

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.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00176616.

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Date of creation: 04 Oct 2007
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Handle: RePEc:hal:wpaper:halshs-00176616

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00176616/en/
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Related research

Keywords: anticomonotonicity; utility maximization; markets with frictions;

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Cited by:
  1. Alejandro Balbas & Anna Downarowicz & Javier Gil-Bazo, 2005. "Market Imperfections, Discount Factors And Stochastic Dominance: An Empirical Analysis With Oil-Linked Derivatives," Business Economics Working Papers wb055013, Universidad Carlos III, Departamento de Economía de la Empresa.
  2. Marc Rieger, 2011. "Co-monotonicity of optimal investments and the design of structured financial products," Finance and Stochastics, Springer, vol. 15(1), pages 27-55, January.
  3. Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.

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