Complete and competitive financial markets in a complex world

Gianluca Cassese

Finance and Stochastics, 2021, vol. 25, issue 4, No 2, 659-688

Abstract: Abstract We investigate the possibility of completing financial markets in a model with no exogenous probability measure, with market imperfections and with an arbitrary sample space. We also consider whether such an extension may be possible in a competitive environment. Our conclusions highlight the economic role of complexity.

Keywords: Competitive completion; Market completeness; Market power; No arbitrage; Sublinear pricing; 91B24; 91B08; 60A99 (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Working Paper: Complete and competitive financial markets in a complex world (2021)
Working Paper: Complete and Competitive Financial Markets in a Complex World (2020)
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DOI: 10.1007/s00780-021-00463-6

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