Efficient trading strategies in the presence of market frictions

Review of Financial Studies, Vol.

efficient trading strategies in the presence of market frictions

There are 2 versions of this paper. We provide a price characterization of efficient contingent claims - i. 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.

Efficient Trading Strategies in the Presence of Market Frictions by Elyes Jouini, Hédi Kallal :: SSRN

We observe common investment strategies becoming inefficient with market frictions, and others rationalized by them. Jouini, Elyes and Kallal, Hedi, Efficient Trading Strategies in the Presence of Market Frictions.

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Paris Dauphine - CEREMADE Hedi Kallal Salomon Smith Barney, Inc. Efficient Trading Strategies in the Efficient trading strategies in the presence of market frictions of Market Frictions NYU Working Paper No.

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Efficient Trading Strategies in the Efficient trading strategies in the presence of market frictions of Market Frictions Review of Financial Studies, Vol. You are currently viewing this paper. Abstract We provide a price characterization of efficient contingent claims - i. Elyes Jouini Contact Author Univ. Hedi Kallal Salomon Smith Barney, Inc.

Efficient Trading Strategies in the Presence of Market Frictions

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