Complete markets do not allow free cash flow streams (Q2350932): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q700225 |
Changed an Item |
||
| Property / reviewed by | |||
| Property / reviewed by: Gheorghe Stoica / rank | |||
Normal rank | |||
Revision as of 12:06, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Complete markets do not allow free cash flow streams |
scientific article |
Statements
Complete markets do not allow free cash flow streams (English)
0 references
25 June 2015
0 references
Within the framework of self-financing strategies, and assuming that instead of withdrawing the money out of the market we reinvest it in the bond and consume it only at the final time, the authors prove that the appearance of free cash flows is related to market completeness and optimization criteria, but not to the time inconsistency of the strategy.
0 references
mean-variance problem
0 references
time-inconsistency
0 references
market completeness
0 references
benchmark problem
0 references
