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» A Limit Theorem for Financial Markets with Inert Investors
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MOR
2006
62views more  MOR 2006»
13 years 4 months ago
A Limit Theorem for Financial Markets with Inert Investors
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
IJAR
2008
72views more  IJAR 2008»
13 years 4 months ago
The game-theoretic capital asset pricing model
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
Vladimir Vovk, Glenn Shafer