On the completeness of a constrained market
AbstractWe show how the well-known Farkas Lemma, commonly used to characterise absence of arbitrages in perfect markets, is also exploitable to ascertain the completeness of a market with total short sales constraints. The generalisation of this lemma to convex cones also allows to characterise the completeness of a market with general conic constraints on investment strategies. Such results can be also applied to tell whether it is possible to hedge perfectly any risky position with a given set of tools.
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Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Applied Management Science.
Volume (Year): 1 (2008)
Issue (Month): 1 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID=286
market completeness; short-sale constraints; Farkas Lemma; constrained markets; investment strategies; hedging.;
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