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On the Discrete Time Capital Asset Pricing Model

Authors
Publisher
Elsevier Science & Technology
Identifiers
DOI: 10.1016/s1570-8659(08)00008-2
Disciplines
  • Economics

Abstract

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.

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