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 extension may be possible in a competitive environment. Our conclusions highlight the economic role of complexity.
Cassese, G. (2021). Complete and competitive financial markets in a complex world. FINANCE AND STOCHASTICS, 25(4), 659-688 [10.1007/s00780-021-00463-6].
Complete and competitive financial markets in a complex world
Gianluca Cassese
Primo
2021
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 extension may be possible in a competitive environment. Our conclusions highlight the economic role of complexity.
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