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EnglishWe 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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| Titolo: | On the completeness of a constrained market | |
| Data di pubblicazione: | 2008 | |
| Autori: | ||
| Autori: | Castagnoli, Erio; Favero, Gino | |
| Rivista: | INTERNATIONAL JOURNAL OF APPLIED MANAGEMENT SCIENCE | |
| Abstract: | 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. | |
| Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista scientifica |
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