CFDP Revision Date
We present necessary and suﬀicient conditions on the asset span of incomplete derivative markets for insuring marketed portfolios. If the asset span is ﬁnite dimensional there exists a polynomial-time algorithm for deciding if every marketed portfolio is insurable, moreover this algorithm computes the minimum cost insurance portfolio. In addition, we extend the Cox-Leland characterization of optimal portfolio insurance in complete derivative markets to asset spans of incomplete derivative markets where every marketed portfolio is insurable.
Aliprantis, Charalambos D.; Brown, Donald J.; and Werner, J., "Hedging with Derivatives in Incomplete Markets" (1996). Cowles Foundation Discussion Papers. 1372.