The game-theoretic capital asset pricing model

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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