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On the degree of incompleteness of an incomplete financial market

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  • Abdelkarem Berkaoui

Abstract

In order to find a way of measuring the degree of incompleteness of an incomplete financial market, the rank of the vector price process of the traded assets and the dimension of the associated acceptance set are introduced. We show that they are equal and state a variety of consequences.

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  • Abdelkarem Berkaoui, 2018. "On the degree of incompleteness of an incomplete financial market," Papers 1811.07509, arXiv.org.
    • Handle: RePEc:arx:papers:1811.07509
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    References listed on IDEAS

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    1. S. D. Jacka, 1992. "A Martingale Representation Result and an Application to Incomplete Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 239-250, October.
    2. Walter Schachermayer, 2004. "The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 19-48, January.
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