Arbitrage pp 47-68 | Cite as

Exact Arbitrage: A Capital Asset Pricing Model

  • Michael Allingham


This chapter applies the basic arbitrage theorem in a single-period setting to develop a version of what is known as the capital asset pricing model (or CAPM).


Discount Factor Price Relation Expected Return Excess Return Market Payoff 
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Copyright information

© Michael Allingham 1991

Authors and Affiliations

  • Michael Allingham
    • 1
  1. 1.University of KentUK

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