Vovk, Vladimir (2011) A simplified Capital Asset Pricing Model.
Full text access: Open
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate. (The mathematical statement of the conjunction is simpler than that of the usual CAPM.) Our main result is that either we can outperform the index or the simplified CAPM holds.
This is a Submitted version This version's date is: 11/11/2011 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/20b53467-876f-648e-0ec1-01ba0c3e3c51/12/
Deposited by Research Information System (atira) on 18-Nov-2014 in Royal Holloway Research Online.Last modified on 18-Nov-2014
6 pages