On the Discrete Time Capital Asset Pricing Model

DOI10.1016/S1570-8659(08)00008-2MaRDI QIDQ3631190zbMATH OpenOpenAlexFDO

Authors Alain Bensoussan

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00008-2

zbMATH Keywords

Bellmann equationconsumptiondynamic programmingMarkov processoptimal portfolioreplication portfolio

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80)

Recommendations

• Option pricing in incomplete discrete markets
• Discrete-time interest rate modelling
• An intertemporal capital asset pricing model under incomplete information and short sales
• The Black-Scholes-Merton model as an idealization of discrete-time economies
• scientific article; zbMATH DE number 1536420

Cited in

(3)

• The discrete-time model of Bagchi's regional investment allocation problem
• ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
• A capital asset pricing model under stable Paretian distributions in a pure exchange economy

This page was built for publication: On the Discrete Time Capital Asset Pricing Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3631190)