Game-Theoretic Capital Asset Pricing in Continuous Time
Pricing of Securities
2018-02-06 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1802.01556,
title = {Game-Theoretic Capital Asset Pricing in Continuous Time},
author = {Vladimir Vovk and Glenn Shafer},
journal= {arXiv preprint arXiv:1802.01556},
year = {2018}
}
Comments
10 pages