TY - JOUR
T1 - On the Discrete Time Capital Asset Pricing Model
AU - Bensoussan, Alain
PY - 2009
Y1 - 2009
N2 - Abstract: We give in this chapter a presentation of the capital asset pricing model in discrete time. The presentation is usually done in continuous time. However, the discrete time model is not just a discrete time version of the continuous time model. Some significant differences occur. They are related to the fact that the usual assumption of complete markets is not satisfied in discrete time unless the randomness is modelled by a finite number of events. © 2009 Elsevier B.V. All rights reserved.
AB - Abstract: We give in this chapter a presentation of the capital asset pricing model in discrete time. The presentation is usually done in continuous time. However, the discrete time model is not just a discrete time version of the continuous time model. Some significant differences occur. They are related to the fact that the usual assumption of complete markets is not satisfied in discrete time unless the randomness is modelled by a finite number of events. © 2009 Elsevier B.V. All rights reserved.
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U2 - 10.1016/S1570-8659(08)00008-2
DO - 10.1016/S1570-8659(08)00008-2
M3 - RGC 21 - Publication in refereed journal
SN - 1570-8659
VL - 15
SP - 299
EP - 324
JO - Handbook of Numerical Analysis
JF - Handbook of Numerical Analysis
ER -