haku: @author Kallal, H. / yhteensä: 3
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| Tekijä: | Jouini, E. Kallal, H. |
| Otsikko: | Efficient Trading Strategies in the Presence of Market Frictions |
| Lehti: | Review of Financial Studies
2001 : SUMMER, VOL. 14:2, p. 343-370 |
| Asiasana: | TRADE STRATEGY MARKETS |
| Kieli: | eng |
| Tiivistelmä: | The authors provide a price characterization of efficient contingent claims-that is, chosen by at least a rational agent in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. The authors characterize the inefficiency cost of a trading strategy- its required investment minus the largest amount necessary to obtain the same utility level-and the authors propose a measure of portfolio performance. The authors show that arbitrage bounds cannot be tightened based on efficiency without restricting preferences or endowments. The authors observe common investment strategies becoming inefficient with market frictions and others rationalized by them. |
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