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Game-Theoretic Capital Asset Pricing in Continuous Time

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  • Vladimir Vovk
  • Glenn Shafer

Abstract

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. This version of the article was essentially written in December 2001 but remains a working paper.

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  • Vladimir Vovk & Glenn Shafer, 2018. "Game-Theoretic Capital Asset Pricing in Continuous Time," Papers 1802.01556, arXiv.org.
    • Handle: RePEc:arx:papers:1802.01556
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    File URL: http://arxiv.org/pdf/1802.01556
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    1. Vladimir Vovk & Glenn Shafer, 2016. "A probability-free and continuous-time explanation of the equity premium and CAPM," Papers 1607.00830, arXiv.org.
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