Robert Jarrow (Johnson Graduate School of Management, Cornell University, Ithaca, NY 14853, USA) Dilip B. Madan () (College of Business and Management, University of Maryland, College Park, MD 20742, USA Manuscript)
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This paper extends the known results on the equivalence between market completeness and the uniqueness of martingale measures for finite asset economies, to the infinite asset case. Our arguments employ results from the theory of linear operators between locally convex topological vector spaces. This theory of linear operators provides an operational approach to the issue of completeness and uniqueness, that is also more closely connected with the mainstream of empirical asset pricing, than was hitherto available.
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