Financial market structures revealed by pricing rules: Efficient complete markets are prevalent

• 成果类型: Article; Proceedings Paper
• 署名作者: Araujo, Aloisio; Chateauneuf, Alain; Faro, Jose Heleno
• 署名单位: Instituto Nacional de Matematica Pura e Aplicada (IMPA); IPAG Business School; Insper
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.11.002
• 发表日期: 2018
• 页码: 257-288
• 关键词: Efficiency; Pricing rules; Risk-neutral probabilities; Bid-ask spreads; complete markets; incompleteness

摘要

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. (C) 2017 Elsevier Inc. All rights reserved.