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Jouini, Elyes, and Hedi Kallal, 2001, “ ,” Review of Financial Studies 14 , 343–369. Kahneman, D., and A. Tversky, 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica 47 , 263–292.

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Efficient Trading Strategies in the Presence of Market

We provide a price characterization of efficient contingent claims - i.e., chosen by at least a rational agent-in multiperiod economies with market frictions. F