APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

We construct a financial market with countably many securities for which there are two equivalent martingale measures under which the market is approximately complete. Thus, approximate completeness does not in general guarantee unique consistent prices for nonmarketed claims. the construction also produces an economy with two agents and infinitely many traded goods which is in equilibrium but has no equilibrium when a new good (recognized by all as redundant) is tentatively traded. Copyright 1995 Blackwell Publishers.