The Game-Theoretic Capital Asset Pricing Model
- Topics:
- Investment and Capital Markets
- Tags:
- Human Resources,
- Hypothesis,
- Index,
- Market Hypothesis,
- Performance Management,
- University Of London,
- Workforce Management
- Source:
- University of London
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Overview: The paper presents the derivation of a capital asset pricing model from an efficient market hypothesis, with no assumptions about the beliefs or preferences of investors. The efficient market hypothesis says that a speculator with limited means cannot beat a particular index by a substantial factor. The model reveals that the difference between the average returns of a portfolio and the index should approximate the difference between the portfolio's covariance with the index and the index's variance. This leads to interesting new ways to evaluate the past performance of portfolios and funds.
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Format: PDF | Size: 394KB | Date: Mar 2002 | Pages: 51
