2011/11/11 by Vladimir Vovk, Vovk, Vladimir
Economics, Econometrics and Finance · #91G10 #Credit Risk and Financial Regulations #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1111.2846
openalex publication_date 2011/11/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/02
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.