Complete markets do not allow free cash flow streams.
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Publication Details
Output type: Presentation
Author list: Stefanie Grether, Sosa Valentina
Publication year: 2014
Number of pages: 7
Languages: English-Great Britain (EN-GB)
Abstract
In this short note we prove a conjecture posed in Cui et al. (2012): Dynamic
mean-variance problems in arbitrage-free, complete nancial markets do not allow free cash
ows. Moreover, we show by investigating a benchmark problem that this eect is due to the
performance criterion and not due to the time inconsistency of the strategy.
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