摘要翻译：
本文研究指数I_t的行为，假设它是一个可交易证券，满足BSM模型di_t/I_t=\mu dt+\sigma dW_t，并在以下意义上是有效的：我们不期望一个预先指定的交易策略，其价值几乎肯定总是非负的，会大大超过指数。指数的效率对其增长率施加了严格的限制；特别是，对于一个长的投资期限，我们应该有\mu\大约r+\sigma^2，其中r是利率。这为股权溢价之谜提供了另一个部分解决方案。我们所有的数学结果都极其简单。
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英文标题：
《The efficient index hypothesis and its implications in the BSM model》
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作者：
Vladimir Vovk
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t, and to be efficient in the following sense: we do not expect a prespecified trading strategy whose value is almost surely always nonnegative to outperform the index greatly. The efficiency of the index imposes severe restrictions on its growth rate; in particular, for a long investment horizon we should have \mu\approx r+\sigma^2, where r is the interest rate. This provides another partial solution to the equity premium puzzle. All our mathematical results are extremely simple.
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PDF链接：
https://arxiv.org/pdf/1109.2327