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Efficient Trading Strategies

Author

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  • Elyès Jouini

    () (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

  • 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.

Suggested Citation

  • Elyès Jouini & Vincent Porte, 2007. "Efficient Trading Strategies," Working Papers halshs-00176616, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00176616
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00176616
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    File URL: https://halshs.archives-ouvertes.fr/halshs-00176616/document
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    Citations

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    Cited by:

    1. 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.
    2. Balbás, Alejandro & Downarowicz, Anna & Gil-Bazo, Javier, 2005. "Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives," DEE - Working Papers. Business Economics. WB wb055013, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    3. Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.

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