A note on completeness in large financial markets

DOI10.1111/j.0960-1627.2004.00193.xzbMath1090.91032OpenAlexW3124277673MaRDI QIDQ4827315

Marzia De Donno

Publication date: 16 November 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00193.x

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Maximizing expected utility in the arbitrage pricing model ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ Arbitrage pricing theory and risk-neutral measures ⋮ Mean-Variance Hedging in Large Financial Markets ⋮ Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach ⋮ Super-replication and utility maximization in large financial markets

Cites Work

• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• Asymptotic arbitrage in large financial markets
• A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
• A Fundamental Theorem of Asset Pricing for Large Financial Markets
• Diversified Portfolios in Continuous Time *