Game-Theoretic Capital Asset Pricing in Continuous Time
Copyright policy )Game-Theoretic Capital Asset Pricing in Continuous Time
We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market hypothesis says that a speculator with limited means cannot beat a particular index by a substantial factor. Our results include a formula that resembles the classical CAPM formula for the expected simple return of a security or portfolio. This version of the article was essentially written in December 2001 but remains a working paper.
10 pages
- Royal Holloway University of London United Kingdom
- Rutgers, The State University of New Jersey United States
FOS: Economics and business, 91G80, Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities
FOS: Economics and business, 91G80, Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities
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