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Efficient trading strategies in financial markets with proportional transaction costs

Luciano Campi 1, 2, Elyès Jouini 3, Vincent Porte 4

(24/10/2011)

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.

1 :	Laboratoire Analyse, Géométrie et Application (LAGA)
	CNRS : UMR7539 – Université Paris XIII - Paris Nord – Université Paris VIII - Vincennes Saint-Denis
2 :	Centre de Recherche en Économie et Statistique (CREST)
	INSEE – École Nationale de la Statistique et de l'Administration Économique
3 :	CEntre de REcherches en MAthématiques de la DEcision (CEREMADE)
	CNRS : UMR7534 – Université Paris IX - Paris Dauphine
4 :	Crédit Agricole
	Crédit Agricole

Domaine

:

Mathématiques/Probabilités

Mots Clés : Cyclic anticomonotonicity – utility maximization – proportional transaction costs – duality – utility price

hal-00635183, version 1

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Contributeur : Luciano Campi <>

Soumis le : Lundi 24 Octobre 2011, 17:15:06

Dernière modification le : Mardi 25 Octobre 2011, 08:41:56