Highly Influential

@inproceedings{Vovk2011TheCA, title={The Capital Asset Pricing Model as a corollary of the Black – Scholes model}, author={Vladimir Vovk}, year={2011} }

- Published 2011

We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black–Scholes model. Besides assuming that the index is a tradable security, we also assume that it is efficient, in the following sense: we do not expect a prespecified self-financing trading strategy whose wealth is almost surely nonnegative at all times to outperform the index greatly. We show that, for a long investment horizon, the appreciation rate of the stock… CONTINUE READING

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