کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7359311 | 1478732 | 2018 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
ترجمه فارسی عنوان
ساختارهای بازار مالی به واسطه قوانین قیمت گذاری نشان داده شده است: بازارهای کامل کارآمد شایع هستند
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study is to elucidate what type of market structure usually emerges from pricing rules. First, we obtain that finitely generated pricing rules, characterized by polytopes of probabilities, capture the class of all finite arbitrage-free financial markets that are potentially incomplete or subject to frictions affecting tradable assets. Next, we provide a novel characterization of efficient securities and introduce related notions of market completeness that underlies pricing rules. Our main result shows that the class of efficient complete markets with bid-ask spreads is the prevalent case revealed by finitely generated pricing rules.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 173, January 2018, Pages 257-288
Journal: Journal of Economic Theory - Volume 173, January 2018, Pages 257-288
نویسندگان
Aloisio Araujo, Alain Chateauneuf, José Heleno Faro,