CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
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.
PRODOTTO NON ANCORA VALIDATO
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
http://hdl.handle.net/11565/1579791| Titolo: | On the completeness of a constrained market |
| Data di pubblicazione: | 2008 |
| Autori interni: | CASTAGNOLI, ERIO FAVERO, GINO |
| Autori: | E. Castagnoli; G. Favero |
| 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 - Articolo su rivista Scientifica |
File in questo prodotto:
Copyright © 2017