Efficient Trading Strategies with Transaction Costs

In this article, we characterize efficient 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 defining a utility price in this multidimensional setting, we provide a measure of strategies inefficiency and a tool allowing to effectively compute this measure with the help of cyclic anticomonotonicity.cyclic anticomonotonicity, utility maximization, transaction