<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">M Ghossoub</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">Cost-Efficient Contingent Claims with Market Frictions</style></title><secondary-title><style face="normal" font="default" size="100%">Mathematics and Financial Economics</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2016</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://link.springer.com/article/10.1007/s11579-015-0151-7</style></url></web-urls></urls><number><style face="normal" font="default" size="100%">1</style></number><volume><style face="normal" font="default" size="100%">10</style></volume><pages><style face="normal" font="default" size="100%">87-111</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;In complete frictionless securities markets under uncertainty, it is well-known that in the absence of arbitrage opportunities, there exists a unique linear positive pricing rule, which induces a state-price density (e.g., Harrison and Kreps (1979)). Dybvig (1988) showed that the cheapest way to acquire a certain distribution of a consumption bundle (or security) is when this bundle is anti-comonotonic with the state-price density, i.e., arranged in reverse order of the state-price density. In this paper, we look at extending Dybvig’s ideas to complete markets with imperfections represented by a nonlinear pricing rule (e.g., due to bid-ask spreads). We consider an investor in a securities market where the pricing rule is “law-invariant” with respect to a capacity (e.g., Choquet pricing as in Araujo et al. (2011),&amp;nbsp;Chateauneuf et al. (1996),&amp;nbsp;Chateauneuf and Cornet (2015),&amp;nbsp;Cerreia-Vioglio et al. (2015). The investor holds a security with a random payoff&amp;nbsp;&lt;em&gt;X&lt;/em&gt;&amp;nbsp;and his problem is that of buying the cheapest contingent claim&amp;nbsp;&lt;em&gt;Y&lt;/em&gt;&amp;nbsp;on&amp;nbsp;&lt;em&gt;X&lt;/em&gt;, subject to some constraints on the performance of the contingent claim and on its level of risk exposure. The cheapest such claim is called&amp;nbsp;&lt;em&gt;cost-efficient&lt;/em&gt;. If the capacity satisfies standard continuity and a property called&amp;nbsp;&lt;em&gt;strong diffuseness&lt;/em&gt;&amp;nbsp;introduced in Ghossoub (2015), we show the existence and monotonicity of cost-efficient claims, in the sense that a cost-efficient claim is anti-comonotonic with the underlying security’s payoff&amp;nbsp;&lt;em&gt;X&lt;/em&gt;. Strong diffuseness is satisfied by a large collection of capacities, including all distortions of diffuse probability measures. As an illustration, we consider the case of a Choquet pricing functional with respect to a capacity and the case of a Choquet pricing functional with respect to a distorted probability measure. Finally, we consider a simple example in which we derive an explicit analytical form for a cost-efficient claim.&lt;/p&gt;</style></abstract><issue><style face="normal" font="default" size="100%">1</style></issue></record></records></xml>