Complete markets do not allow free cash flow streams (Q2350932)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Complete markets do not allow free cash flow streams |
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Complete markets do not allow free cash flow streams (English)
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25 June 2015
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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.
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mean-variance problem
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time-inconsistency
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market completeness
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benchmark problem
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