IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v14y2004i2p295-315.html
   My bibliography  Save this article

A note on completeness in large financial markets

Author

Listed:
  • Marzia De Donno

Abstract

We study completeness in large financial markets, namely markets containing countably many assets. We investigate the relationship between asymptotic completeness in the global market and completeness in the finite submarkets, under a no‐arbitrage assumption. We also suggest a way to approximate a replicating strategy in the large market by finite‐dimensional portfolios. Furthermore, we find necessary and sufficient conditions for completeness to hold in a factor model.

Suggested Citation

  • Marzia De Donno, 2004. "A note on completeness in large financial markets," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 295-315, April.
    • Handle: RePEc:bla:mathfi:v:14:y:2004:i:2:p:295-315
    DOI: 10.1111/j.0960-1627.2004.00193.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.0960-1627.2004.00193.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.0960-1627.2004.00193.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. repec:dau:papers:123456789/12663 is not listed on IDEAS
    3. Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.
    4. Oleksii Mostovyi, 2014. "Utility maximization in the large markets," Papers 1403.6175, arXiv.org, revised Oct 2014.
    5. Miklós Rásonyi, 2004. "Arbitrage pricing theory and risk-neutral measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 109-123, December.
    6. De Donno, M. & Guasoni, P. & Pratelli, M., 2005. "Super-replication and utility maximization in large financial markets," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 2006-2022, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:14:y:2004:i:2:p:295-315. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.