We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and 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. Our results include a formula that resembles the classical CAPM formula for the expected simple return of a security or portfolio
We consider a financial market in which two securities are traded: a stock and an index. Their price...
This book explains key financial concepts, mathematical tools and theories of mathematical finance. ...
This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumpt...
AbstractUsing Shafer and Vovk’s game-theoretic framework, we derive a capital asset pricing model fr...
We introduce a new formulation of asset trading games in continuous time in the framework of the gam...
The author examines how the empirical implications of the capital asset pricing model (CAPM) are aff...
We consider asset pricing in a monetary economy where liquid assets are held to lower transaction co...
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuou...
I survey and assess the development of continuous-time methods in finance during the last 30 years. ...
This thesis studies the equilibrium behavior of continuous-time capital markets with various market ...
We consider a class of generalized capital asset pricing models in continuous time with a finite num...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz abou...
Yielding new insights into important market phenomena like asset price bubbles and trading constrain...
Continuous time financial models assume that the state vector which characterizes the instantaneous ...
We consider a financial market in which two securities are traded: a stock and an index. Their price...
This book explains key financial concepts, mathematical tools and theories of mathematical finance. ...
This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumpt...
AbstractUsing Shafer and Vovk’s game-theoretic framework, we derive a capital asset pricing model fr...
We introduce a new formulation of asset trading games in continuous time in the framework of the gam...
The author examines how the empirical implications of the capital asset pricing model (CAPM) are aff...
We consider asset pricing in a monetary economy where liquid assets are held to lower transaction co...
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuou...
I survey and assess the development of continuous-time methods in finance during the last 30 years. ...
This thesis studies the equilibrium behavior of continuous-time capital markets with various market ...
We consider a class of generalized capital asset pricing models in continuous time with a finite num...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz abou...
Yielding new insights into important market phenomena like asset price bubbles and trading constrain...
Continuous time financial models assume that the state vector which characterizes the instantaneous ...
We consider a financial market in which two securities are traded: a stock and an index. Their price...
This book explains key financial concepts, mathematical tools and theories of mathematical finance. ...
This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumpt...