A Simple Characterization of Dynamic Completeness in Continuous Time

Theo Diasakos ()

No 211, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: I establish a necessary and sufficient condition for the securities' market to be dynamically-complete in a single-commodity, pure-exchange economy with many Lucas' trees whose dividends are geometric Brownian motions. Even though my analysis is based upon the representative-agent version of this economy, the condition depends neither on the utility function of the representative agent, nor on the functional form of her endowment. As a consequence, it characterizes dynamic completeness in this economy even in the presence of many heterogenous agents.

Keywords: Dynamically-Complete Markets; Continuous Time; General Equilibrium (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge
Date: 2011
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.carloalberto.org/assets/working-papers/no.211.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cca:wpaper:211

Access Statistics for this paper

More papers in Carlo Alberto Notebooks from Collegio Carlo Alberto
Contact information at EDIRC.
Series data maintained by Giovanni Bert ().