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- W2770624657 abstract "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." @default.
- W2770624657 created "2017-12-04" @default.
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- W2770624657 date "2018-01-01" @default.
- W2770624657 modified "2023-10-16" @default.
- W2770624657 title "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent" @default.
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- W2770624657 doi "https://doi.org/10.1016/j.jet.2017.11.002" @default.
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