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On the completeness of a constrained market


  • Erio Castagnoli
  • Gino Favero


We 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.

Suggested Citation

  • Erio Castagnoli & Gino Favero, 2008. "On the completeness of a constrained market," International Journal of Applied Management Science, Inderscience Enterprises Ltd, vol. 1(1), pages 90-96.
  • Handle: RePEc:ids:injams:v:1:y:2008:i:1:p:90-96

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