The CAPM versus the risk neutral pricing model

Dominique Pépin ()

Working Papers from HAL

Abstract: We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show that the former is better than the latter when a condition that we give is satisfied.

Keywords: CAPM; stochastic discount factor; pricing errors (search for similar items in EconPapers)
Date: 2002
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