摘要翻译：
我们考虑两种证券交易的金融市场：股票和指数。它们的价格被假定满足布莱克-斯科尔斯模型。除了假设指数是一种可交易证券之外，我们还假设它是有效的，在以下意义上：我们不期望一个预先设定的、财富几乎肯定在任何时候都是非负值的自筹资金的交易策略能够大大优于指数。我们发现，在较长的投资期限内，股票的升值速度必须接近于利率（假定为常数）加上股票的波动向量与指数之间的协方差。这包含了资本资产定价模型的一个版本和我们早先的结果，即股权溢价接近于指数波动率的平方。
---
英文标题：
《The Capital Asset Pricing Model as a corollary of the Black-Scholes
  model》
---
作者：
Vladimir Vovk
---
最新提交年份：
2011
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
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
--

---
英文摘要：
  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 has to be close to the interest rate (assumed constant) plus the covariance between the volatility vectors of the stock and the index. This contains both a version of the Capital Asset Pricing Model and our earlier result that the equity premium is close to the squared volatility of the index.
---
PDF链接：
https://arxiv.org/pdf/1109.5144