A Simple Characterization of Dynamic Completeness in Continuous Time

Theodoros 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)
Pages: 27 pages
Date: 2011
New Economics Papers: this item is included in nep-dge
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Related works:
Working Paper: A Simple Characterization of Dynamic Completeness in Continuous Time (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:211

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