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.
PRODOTTO NON ANCORA VALIDATO
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
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 |
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.