英文标题：
《Game-Theoretic Capital Asset Pricing in Continuous Time》
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作者：
Vladimir Vovk and Glenn Shafer
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最新提交年份：
2018
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英文摘要：
  We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market hypothesis says that a speculator with limited means cannot beat a particular index by a substantial factor. Our results include a formula that resembles the classical CAPM formula for the expected simple return of a security or portfolio.   This version of the article was essentially written in December 2001 but remains a working paper.
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中文摘要：
我们从有效市场假设出发，在没有随机假设和关于投资者信念或偏好的假设的情况下，推导出连续时间内资本资产绩效的公式。我们的有效市场假说认为，一个手段有限的投机者无法以实质性因素击败某一特定指数。我们的结果包括一个类似于经典CAPM公式的公式，用于计算证券或投资组合的预期简单回报。这篇文章的这一版本基本上是在2001年12月编写的，但仍然是一份工作文件。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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