Game-Theoretic Capital Asset Pricing in Continuous Time
نویسندگان
چکیده
منابع مشابه
The game-theoretic capital asset pricing model
Using Shafer and Vovk’s game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with 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. The model we derive says that the difference between the ...
متن کاملPassive portfolio management . the game - theoretic capital asset pricing model
The present paper sets out to underline passive portfolio management on the Romanian capital market starting from the Capital Asset Pricing Model (CAPM) derived from the efficient market hypothesis, with no assumptions about the beliefs or preferences of investors. The efficient market hypothesis says that a speculator with limited resources cannot beat a particular index by a substantial facto...
متن کاملTemporal Aggregation and the Continuous-Time Capital Asset Pricing Model
We examine how the empirical implications of the Capital Asset Pricing Model (CAPM) are affected by the length of the period over which returns are measured. We show that the continuous-time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. We use Hansen's Generalized Method of Moments (GMM) approach to test the continuous-time CAPM at an unconditional l...
متن کاملCapital Mobility and Asset Pricing
We present a model for the equilibrium movement of capital between markets. Markets with symmetrically distributed risks are distinguished only by the levels of capital invested in each. That market with the greater amount of capital earns lower conditional mean returns. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investo...
متن کاملCompetitive Pricing in a Supply Chain Using a Game Theoretic Approach
We develop a price competition model for a new supply chain that competes in a market comprised of some rival supply chains. The new supply chain has one risk-neutral manufacturer and one risk-averse retailer in which the manufacturer is a leader and retailer is a follower. The manufacturer pays a fraction of the risk cost (caused by demand uncertainty) to the retailer. We apply this competitiv...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.303062