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The CAPM versus the risk neutral pricing model

Author

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  • Dominique Pepin

    (CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers)

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.

Suggested Citation

  • Dominique Pepin, 2002. "The CAPM versus the risk neutral pricing model," Working Papers hal-00966459, HAL.
    • Handle: RePEc:hal:wpaper:hal-00966459
    Note: View the original document on HAL open archive server: https://hal.science/hal-00966459
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    References listed on IDEAS

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    1. Hansen, Lars Peter & Jagannathan, Ravi, 1997. "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
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    3. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
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    Full references (including those not matched with items on IDEAS)

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