Complete markets do not allow free cash flow streams (Q2350932)

From MaRDI portal
Revision as of 08:49, 10 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
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
    0 references
    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

    Identifiers