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A note on completeness in large financial markets |
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| Authors: | Marzia De Donno |
| Affiliation: | Dipartimento di Matematica, Universitàdi Pisa |
| Abstract: | We study completeness in large financial markets, namely markets containing countably many assets. We investigate the relationship between asymptotic completeness in the global market and completeness in the finite submarkets, under a no-arbitrage assumption. We also suggest a way to approximate a replicating strategy in the large market by finite-dimensional portfolios. Furthermore, we find necessary and sufficient conditions for completeness to hold in a factor model. |
| Keywords: | large financial market self-financing portfolio completeness factor models cylindrical stochastic integration |