A probability-free and continuous-time explanation of the equity premium and CAPM

Vladimir Vovk and Glenn Shafer

Papers from arXiv.org

Abstract: This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital asset pricing model.

Date: 2016-07
New Economics Papers: this item is included in nep-ger
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Citations: View citations in EconPapers (3)

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