naa a22 4500 510808417 CHVBK 20180411083429.0 cr unu---uuuuu 180411e20130601xx s 000 0 eng 10.1007/s11579-013-0099-4 doi (NATIONALLICENCE)springer-10.1007/s11579-013-0099-4 Efficient portfolios in financial markets with proportional transaction costs [Elektronische Daten] [Luciano Campi, Elyès Jouini, Vincent Porte] In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general multi-currency 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. We provide a complete characterization of efficient portfolios, generalizing earlier results of Dybvig (Rev Financ Stud 1:67-88, 1988) and Jouini and Kallal (J Econ Theory 66: 178-197, 1995). 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 that prices it. 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, and give a dual representation of it as the largest proportion of the market price necessary for all agents to reach the same expected utility level. Springer-Verlag Berlin Heidelberg, 2013 Efficient portfolios nationallicence Cyclic anticomonotonicity nationallicence Utility maximization nationallicence Proportional transaction costs nationallicence Duality nationallicence Utility price nationallicence Campi Luciano LAGA, Université Paris 13, Villetaneuse, France aut Jouini Elyès IFD, Université Paris-Dauphine, Paris, France aut Porte Vincent Risk Management Group, Crédit Agricole S.A, Paris, France aut Mathematics and Financial Economics Springer-Verlag 7/3(2013-06-01), 281-304 1862-9679 7:3<281 2013 7 11579 https://doi.org/10.1007/s11579-013-0099-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-013-0099-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Campi Luciano LAGA, Université Paris 13, Villetaneuse, France aut NATIONALLICENCE 700 1- Jouini Elyès IFD, Université Paris-Dauphine, Paris, France aut NATIONALLICENCE 700 1- Porte Vincent Risk Management Group, Crédit Agricole S.A, Paris, France aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer-Verlag 7/3(2013-06-01), 281-304 1862-9679 7:3<281 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer