A note on completeness in large financial markets

Marzia De Donno

Mathematical Finance, 2004, vol. 14, issue 2, 295-315

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.

Date: 2004
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