A probability-free and continuous-time explanation of the equity premium and CAPM
Mathematical Finance
2016-07-05 v1
Abstract
This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital asset pricing model.
Keywords
Cite
@article{arxiv.1607.00830,
title = {A probability-free and continuous-time explanation of the equity premium and CAPM},
author = {Vladimir Vovk and Glenn Shafer},
journal= {arXiv preprint arXiv:1607.00830},
year = {2016}
}
Comments
21 pages, 1 figure