The game-theoretic capital asset pricing model
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 ...
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ژورنال
عنوان ژورنال: International Journal of Approximate Reasoning
سال: 2008
ISSN: 0888-613X
DOI: 10.1016/j.ijar.2007.03.015