Exact Arbitrage: A Capital Asset Pricing Model

Michael Allingham
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Michael Allingham: University of Kent

Chapter 3 in Arbitrage, 1991, pp 47-68 from Palgrave Macmillan

Abstract: Abstract This chapter applies the basic arbitrage theorem in a single-period setting to develop a version of what is known as the capital asset pricing model (or CAPM).

Keywords: Discount Factor; Price Relation; Expected Return; Excess Return; Market Payoff (search for similar items in EconPapers)
Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-21385-6_3

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DOI: 10.1007/978-1-349-21385-6_3

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