2016/07/04 by Vovk, Vladimir, Shafer, Glenn
#91G99 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
paper · doi:10.48550/arxiv.1607.00830
This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital asset pricing model.