英文标题：
《Instantaneous Arbitrage and the CAPM》
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作者：
Lars Tyge Nielsen
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最新提交年份：
2019
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英文摘要：
  This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrage argument and the CAPM argument in Black and Scholes (1973) is this: the arbitrage argument assumes that there exists some portfolio satisfying the capm equation, whereas the CAPM argument assumes, in addition, that this portfolio is the market portfolio.
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中文摘要：
本文研究了连续时间瞬时套利的概念及其与瞬时CAPM的关系。不存在瞬时套利相当于存在满足CAPM贝塔定价关系而不是市场的交易策略。因此，Black和Scholes（1973）中的套利论证和CAPM论证的区别在于：套利论证假设存在满足CAPM方程的投资组合，而CAPM论证另外假设该投资组合是市场投资组合。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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