Least-Squares Prices of Games

Yukio Hirashita

Papers from arXiv.org

Abstract: What are the prices of random variables? In this paper, we define the least-squares prices of coin-flipping games, which are proved to be minimal, positive linear, and arbitrage-free. These prices depend both on a set of games that are available for investing simultaneously and on a risk-free interest rate. In addition, we show a case where the mean-variance portfolio theory is inappropriate.

Date: 2007-03, Revised 2008-04
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Published in International Journal of Applied Mathematics & Statistics 13 (2008), 3-8.

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0703079

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