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Complete and incomplete financial markets in multi-good economies

Ehling, Paul; Heyerdahl-Larsen, Christian
Journal article, Peer reviewed
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URI
http://hdl.handle.net/11250/2380142
Date
2015
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  • Scientific articles [2147]
Original version
Journal of Economic Theory, 160(2015): 438-462   10.1016/j.jet.2015.10.006
Abstract
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.
Description
This is the accepted and refereed manuscript to the article
Publisher
Elsevier
Journal
Journal of Economic Theory

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