Efficient Trading Strategies with Transaction Costs

Abstract

In this article, we characterize e¢cient contingent claims in a context of transaction costs and multidimensional utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity. Moreover, after de…ning a utility price in this multidimensional setting, we provide a measure of strategies inef…ciency and a tool allowing to e¤ectively compute this measure with the help of cyclic anticomonotonicity.