On CAPM and Black-Scholes differing risk-return strategies

DOI10.1016/S0378-4371(03)00588-0zbMath1056.91033OpenAlexW2097589877MaRDI QIDQ1409096

Gemunu H. Gunaratne, Joseph L. McCauley

Publication date: 5 October 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00588-0

zbMATH Keywords

capital asset pricing modeloption pricing partial differential equation

Mathematics Subject Classification ID

Related Items (1)

On volatility smile and an investment strategy with out-of-the-money calls

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The new science of complexity
• The futility of utility: how market dynamics marginalize Adam Smith
• Collective behavior of stock price movements - a random matrix theory approach

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