Complete and incomplete financial markets in multi-good economies
Journal article, Peer reviewed
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http://hdl.handle.net/11250/2380142Utgivelsesdato
2015Metadata
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Sammendrag
We investigate conditions for endogenous incompleteness and completeness in continuoustime
nancial markets driven by di usion processes with multiple consumption goods and
heterogeneous agents. We show that for a class of utility functions the nancial market is
endogenously incomplete. A su cient condition for market completeness is that the dividend
di usion matrix in units of the numeraire good is invertible. Further, nancial market
completeness can depend on the choice of the numeraire good since changing the numeraire
good implies a change of the risk-free asset and the asset structure.
Beskrivelse
This is the accepted and refereed manuscript to the article