Concepedia

Market Completeness

Market Completeness is a structural property of a financial market model in which the set of attainable payoffs spans all possible contingent claims, such that for every measurable future outcome, a replicating portfolio can be constructed to perfectly hedge any derivative security.

118

Publications

7.4K

Citations

191

Authors

153

Institutions

Publications per year

2017–2026

9

Parents

Publications

118

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve et al. · SIAM Journal on Control and Optimization · 1991 · 828 citations

, , +16

Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

Hua He, Neil D. Pearson · Journal of Economic Theory · 1991 · 462 citations

, , +17

A stochastic calculus model of continuous trading: Complete markets

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1983 · 439 citations

, , +16

Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence

Alon Brav, George M. Constantinides, Christopher Géczy · Journal of Political Economy · 2002 · 437 citations

, , +17

Towards a general theory of bond markets

Tomas Björk, Giovanni Di Masi, Yuri Kabanov et al. · Finance and Stochastics · 1997 · 333 citations · Full text

, , +17

1–5 of 118

Authors

191

  1. JH
    Julien Hugonnier

    Swiss Finance Institute, Switzerland

    4 publications · 183 citations

    4

    h-index

  2. CG
    Christopher Géczy

    University of Pennsylvania, United States

    3 publications · 589 citations

    3

    h-index

  3. RA
    Robert A. Jarrow

    Cornell University, United States

    3 publications · 203 citations

    3

    h-index

  4. AB
    Alon Brav

    Duke University, United States

    3 publications · 589 citations

    3

    h-index

  5. LK
    Leonid Kogan

    Massachusetts Institute of Technology, United States

    2 publications · 154 citations

    2

    h-index

1–5 of 191

Institutions

153

  1. Cornell University

    Ithaca, United States

    7 h-index

    9 publications

    397 citations

  2. Swiss Finance Institute

    Zurich, Switzerland

    5 h-index

    9 publications

    393 citations

  3. National Bureau of Economic Research

    Cambridge, United States

    5 h-index

    8 publications

    792 citations

  4. University of Pennsylvania

    Philadelphia, United States

    5 h-index

    7 publications

    450 citations

  5. University of Southern California

    Los Angeles, United States

    5 h-index

    8 publications

    437 citations

  6. Université Paris Cité

    Paris, France

    4 h-index

    5 publications

    87 citations

  7. Tilburg University

    Tilburg, The Netherlands

    4 h-index

    6 publications

    119 citations

  8. Princeton University

    Princeton, United States

    3 h-index

    5 publications

    175 citations

1–8 of 153

Venues

  1. SSRN Electronic Journal

    Repository · 14 publications · 504 citations

    12

    h-index

  2. Journal of Economic Theory

    JET · 9 publications · 857 citations

    9

    h-index

  3. Journal of Mathematical Economics

    8 publications · 348 citations

    8

    h-index

  4. Journal of Economic Dynamics and Control

    6 publications · 260 citations

    6

    h-index

  5. Finance and Stochastics

    6 publications · 529 citations

    6

    h-index

1–5