Complete markets do not allow free cash flow streams
نویسندگان
چکیده
In this short note we prove a conjecture posed in Cui et al. (2012): Dynamic mean-variance problems in arbitrage-free, complete financial markets do not allow free cash flows. Moreover, we show by investigating a benchmark problem that this effect is due to the performance criterion and not due to the time inconsistency of the strategy.
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ورودعنوان ژورنال:
- Math. Meth. of OR
دوره 81 شماره
صفحات -
تاریخ انتشار 2015